Pendugaan Nilai Aset Pendanaan Pensiun dengan Dua Jenis Pemulusan: Studi Kasus Data Mortalitas Indonesia 2011

Abstract

Determinating the value of assets at the beginning of each period is a problem faced by an insurance company. The purpose of this paper is to estimate the value of pension funding assets of a company using exponential and arithmetic smoothing methods and to compare both methods. Exponential smoothing weights exponentially the previous periods of the company asset, while arithmetic smoothing averages the previous periods of the company asset. Both methods estimate the assets value well. The exponential smoothing generates contribution variance smaller than arithmetic smoothing. The illustrations in this paper use an exponential weighting of 0.7 and arithmetic average of the 5 last period. The error rate in estimating the assets value provides MAPE of 0.216% and 0.136% for exponential and arithmetic smoothing methods, respectivelly. The contribution variance of exponential smoothing ( ) is smaller than that of arithmetic smoothing ( ).