Penentuan Premi Asuransi Jiwa Berjangka Joint-Life Menggunakan Model Suku Bunga Stokastik Hull-White

Abstract

Penelitian ini membahas penentuan premi asuransi jiwa berjangka joint-life dengan mempertimbangkan penggunaan suku bunga stokastik model Hull-White. Data yang digunakan mencakup suku bunga Bank Indonesia 7-Day Reverse Repo Rate (BI7DRR) dan Tabel Mortalitas Indonesia IV (TMI IV). Model Hull-White didiskretisasi menggunakan metode Euler-Maruyama, kemudian parameter model diestimasi melalui pendekatan ordinary least squares. Data suku bunga BI7DRR dibagi menjadi data training dan testing untuk keperluan validasi model. Suku bunga masa depan disimulasikan berdasarkan parameter yang diperoleh. Akurasi model dievaluasi menggunakan mean absolute percentage error, dengan hasil sebesar 7.78% pada data training dan 8.71% pada data testing. Hasil ini menunjukkan bahwa model Hull-White cukup baik untuk memproyeksikan suku bunga ke depan. Berdasarkan suku bunga hasil prediksi dan TMI IV, premi asuransi dihitung dan ditemukan bahwa besarnya premi meningkat seiring bertambahnya usia masuk tertanggung.

This study discusses the determination of term life insurance premiums under a joint life arrangement by considering the use of the stochastic interest rate Hull-White model. The data used include the Bank Indonesia 7-Day Reverse Repo Rate (BI7DRR) and the Indonesian Mortality Table IV (TMI IV). The Hull-White model is discretized using the Euler-Maruyama method, then the model parameters are estimated using the ordinary least squares approach. The BI7DRR interest rate data are divided into training and testing data for model validation purposes. Future interest rates are simulated based on the obtained parameters. The accuracy of the model is evaluated using the mean absolute percentage error, resulting in 7.78% for the training data and 8.71% for the testing data. These results indicate that the Hull-White model is quite good for projecting future interest rates. Based on the predicted interest rates and TMI IV, insurance premiums are calculated and found to increase along with the entry age of the insured individuals.