Cadangan Premi Asuransi Joint-Life Dengan Suku Bunga Tetap Dan Berubah Secara Stokastik

Sukanasih, Ni Komang; Widana, I Nyoman; Jayanegara, Ketut

doi:10.24843/mtk.2018.v07.i02.p188

Cited by 4 publications

(8 citation statements)

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“…This study aims to compare the Zillmer method and premium sufficiency using the Vasicek stochastic interest rate model. Similar studies has been conducted by Rinawati [16] and Sukanasih et al [19], but this study calculates premium reserves without modification of the method and is intended for the individual insured. This research provides an alternative for calculating premium reserves for term life insurance products using the Vasicek stochastic interest rate and mortality rates available in Indonesia.…”

Section: Introductionmentioning

confidence: 88%

“…In Equation ( 12), Vasicek [23] states that a > 0 so that the Ornstein-Uhlenbeck process in the equation is said to be an elastic random walk. Random walk is a stochastic process where the rate of change t is discrete (Sukarnasih et al, [19]). Furthermore, elastic random walk is a Markov process customarily distributed (Szabados,[21]).…”

Section: Vasicek Stochastic Interest Ratementioning

confidence: 99%

“…Previous study on the calculation of premium reserves using stochastic interest rates has been carried out by Rinawati [16] using the Zillmer modified with Makeham method using Randleman-Bartter's stochastic interest rate model. In other studies, Sukanasih et al [19] compared joint life insurance premium reserves using fixed and stochastic interest rates. This study aims to compare the Zillmer method and premium sufficiency using the Vasicek stochastic interest rate model.…”

Section: Introductionmentioning

confidence: 99%

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Comparison of Zillmer and Premium Sufficiency Reserve Method using the Vasicek Stochastic Interest Rate Model

Rachman¹,

Pertiwi²

2022

jmi

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An accurate calculation of premium reserves will ensure that the insurance company can pay claims. Premium reserves are funds collected by insurance companies which are the difference between the sum insured and the value of payments during the insurance period prepared for claim payments. There are several methods for calculating premium reserves, but the methods that are the focus of this study are the Zillmer method and the Premium Sufficiency method, extensions of the prospective method. This study aims to compare the two methods using the Vasicek model to determine the stochastic interest rate. Then the Ordinary Least Square method is used to estimate the Vasicek interest rate parameter. In comparing the two premium reserve methods, this study builds a simulation for reference male and female insureds using Bank Indonesia reference rate data for 2017-2021 and the Indonesian Mortality Table IV from 2019. The results of this study indicate that premiums reserve calculations using the Zillmer method yield less value than the Premium Adequacy method for both male and female insureds.

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Section: Introductionmentioning

confidence: 88%

Section: Vasicek Stochastic Interest Ratementioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Comparison of Zillmer and Premium Sufficiency Reserve Method using the Vasicek Stochastic Interest Rate Model

Rachman¹,

Pertiwi²

2022

jmi

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“…The benefits reserve is a fund that is reserved by insurance companies to pay obligations in the future [14]. For joint life with contract period , the benefit reserve is calculated using a combination between the prospective method and the following cases [15]. Based on 13 conditions above, we formulate the benefits reserve for one of the participants who died during the contract period and the other participants live until the end of the contract period.…”

Section: Formulation Of the Benefit Reservementioning

confidence: 99%

The Constant Annual Premium and Benefit Reserve for Four Participants in Joint Life Insurance

Nadilia

Fitriyati

Fauziah

2020

InPrime:Ind.Jour.Pure.Applied.Math

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This research discusses the derivation of formula to calculate the constant annual premiums and the benefit reserves for joint insurance consisting of four people. We combine pure endowment insurance, lifetime insurance, and n-year term insurance. Assumed that the benefits are set at the beginning of the insurance contract, the benefit reserves are calculated using the prospective method, and the premium payment stops if one of those four participants dies. If all participants live until the end of the contract, the benefits are paid at once but if one of the participants dies, the benefits paid at the end of the contract in the form of a lifetime annuity. The formula to calculate the benefit reserves is divided into four cases i.e. the benefit reserves if one of four participants dies, the benefit reserves if two of four participants die, the benefit reserve if three of four participants die, and the benefit reserves if all participants are still alive until the end of the contract. Besides, we also present simulation to calculate the constant annual premium for four participants consist of a father (50 years old), a mother (45 years old), a son (20 years old), and a daughter (15 years old). From the simulation, we conclude that as the length of the insurance contract increases, the premium tends to decrease. The benefit reserve calculation does not have a certain tendency. It generally increases during the insurance period (the premium is still paid) and then decreases thereafter. This is valid for all cases mentioned above.Keywords: n-year term insurance; prospective method; pure endowment insurance. AbstrakPenelitian ini membahas mengenai penurunan rumus untuk menghitung premi tahunan konstan dan cadangan benefit untuk asuransi gabungan yang terdiri dari empat orang. Jenis asuransi yang digunakan adalah kombinasi antara asuransi endowment murni, asuransi seumur hidup dan asuransi berjangka n-tahun. Diasumsikan bahwa benefit ditetapkan di awal kontrak asuransi dan pembayaran premi berhenti jika salah seorang dari keempat peserta meninggal dunia. Jika seluruh peserta hidup sampai dengan akhir kontrak maka benefit dibayarkan secara sekaligus, namun jika salah satu dari peserta telah meninggal dunia maka benefit yang dibayarkan pada akhir tahun kontrak dalam bentuk anuitas seumur hidup. Rumus yang diperoleh untuk menghitung cadangan benefit dibagi menjadi empat kasus yaitu cadangan benefit jika satu orang meninggal dan tiga orang lainnya hidup, cadangan benefit jika dua orang meninggal dan dua orang lainnya hidup, cadangan benefit jika tiga orang meninggal dan satu orang lainnya hidup, dan cadangan benefit jika semua peserta tetap hidup sampai akhir masa kontrak. Pada akhir penelitian, disajikan simulasi perhitungan premi tahunan konstan untuk empat peserta yang terdiri dari ayah (berusia 50 tahun), ibu (45 tahun), anak laki-laki (20 tahun), dan anak perempuan (15 tahun). Dari simulasi diperoleh bahwa semakin lama kontrak asuransi maka premi yang dibayakan cenderung semakin kecil. Perhitungan cadangan benefit tidak memiliki kecenderungan tertentu, namun pada umumnya meningkat selama masa asuransi berlangsung (pembayaran premi masih dilakukan) kemudian menurun setelahnya. Hal ini berlaku untuk seluruh kasus yang telah dibahas pada perhitungan rumus cadangan premi.Kata kunci: asuransi berjangka n-tahun; metode prospektif; asuransi endowment murni.

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“…They conclude that the stochastic term structure of interest rate is well applied to interest rate risks in the 2000-2010 German bond market. Another alternative presented is to use the Vasicek model and Cox-Ingersoll-Ross (CIR) model [13]- [15]. However, these stochastic models require complex parameters that require initial estimation and comprehensive data.…”

Section: Introductionmentioning

confidence: 99%

Calculation of Credited Interest Rate With Investment Year Method and Portfolio Method

Aryento

Kusnadi

Lesmono

2022

BAREKENG: J. Math. & App.

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The rate of return on investment for unit-linked insurance products in Indonesia is still volatile and depends on the investment instruments performance. However, the net return on investment that is given to policyholders is projected at the beginning of the year and is used as a benchmark for choosing the right investment instrument, referred to as the credited interest rate. Interest rates movements affect the yield of the credited interest rate. Therefore, the credited interest rate calculation requires appropriate methods to reduce the risk of loss, which are the Investment Year Method and the Portfolio Method. Research shows that the Investment Year Method is more appropriate in unstable interest rate condition, whereas the Portfolio Method is better utilized in a stabilized environment. In addition, this research also shows the strategy to manage investment instruments with asset rollover to suit the fluctuating credited interest rate.

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Cadangan Premi Asuransi Joint-Life Dengan Suku Bunga Tetap Dan Berubah Secara Stokastik

Cited by 4 publications

References 0 publications

Comparison of Zillmer and Premium Sufficiency Reserve Method using the Vasicek Stochastic Interest Rate Model

Comparison of Zillmer and Premium Sufficiency Reserve Method using the Vasicek Stochastic Interest Rate Model

The Constant Annual Premium and Benefit Reserve for Four Participants in Joint Life Insurance

Calculation of Credited Interest Rate With Investment Year Method and Portfolio Method

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