Calculation of Dwiguna Life Insurance Premiums using Monte Carlo Simulation with Vasicek Interest Rate Parameter Estimation based on Ordinary Least Square

Authors

  • Pretty Lawrencia Connery Universitas Indonesia
  • Dian Lestari Universitas Indonesia
  • Arman Haqqi Anna Zili Universitas Indonesia

DOI:

https://doi.org/10.31004/jpdk.v4i4.6378

Abstract

Premi adalah sejumlah uang yang harus dibayarkan tertanggung kepada perusahaan asuransi setelah kontrak ditandatangani. Beberapa variabel mempengaruhi perhitungan premi, seperti suku bunga. Vasicek merupakan salah satu model suku bunga stokastik. Model ini sering digunakan untuk menghitung premi karena model ini dapat menangkap pergerakan suku bunga pada waktu yang tidak terduga. Parameter laju Vasicek diestimasi berdasarkan Ordinary Least Square. Premi dihitung tanpa dan dengan menerapkan simulasi Monte Carlo. Tujuan dari penelitian ini adalah untuk mengetahui hasil implementasi simulasi Monte Carlo dalam perhitungan premi asuransi jiwa dwiguna. Hasil simulasi Monte Carlo akan dibandingkan dengan tanpa hasil perhitungan Monte Carlo. Hasil penelitian menunjukkan bahwa premi yang dihasilkan oleh simulasi Monte Carlo lebih tinggi dibandingkan dengan premi tanpa simulasi Monte Carlo.

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Published

2022-08-26

How to Cite

Connery, P. L. ., Lestari, D. ., & Zili , A. H. A. . (2022). Calculation of Dwiguna Life Insurance Premiums using Monte Carlo Simulation with Vasicek Interest Rate Parameter Estimation based on Ordinary Least Square. Jurnal Pendidikan Dan Konseling (JPDK), 4(4), 5677–5683. https://doi.org/10.31004/jpdk.v4i4.6378

Issue

Vol. 4 No. 4 (2022): Jurnal Pendidikan dan Konseling

Section

Articles

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Copyright (c) 2022 Lawrencia Connery, Dian Lestari, Arman Haqqi Anna Zili

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