Penentuan Nilai Premi Asuransi Pertanian Pada Komoditas Kopi Berbasis Harga Internasional Menggunakan Model Mean Reversion Dengan Lompatan

Abstract

Agricultural insurance with the interantional price is new insurance in Indonesia. The international insurance premium is given if the international prices lower than the determined trigger value. The purpose of this study is to presents the steps needed to determine the premium value of the agricultural insurance. The steps are to search data of the international prices and local prices commodity coffee, calculate the return of both data, calculate descriptive statistic, calculate correlation between international prices of commodity coffee and local prices commodity coffee, estimate the parameter by using Maksimum Likelihood Estimasi(MLE), to do the Monte Carlo simulation by using Mean Reversion with Jump Diffusion, to determine the production cost, normality log test, to determine the trigger indexs, and to count the premium value with put cash-or-nothing option. On this study if international prices lower than the determined trigger value, trigger payments as much as Rp 20.248.282,4/Ha based on trigger index as many Rp 24.900/kg, so amount of premium payment equals Rp 334.000.

Determination of the Amount of Premium and Indemnity in Shallot Farming Insurance

“…Qosim et al [4] determined the premium of rainfall index-based agricultural insurance on corn commodity in Karangasem Regency, Bali using a mixed exponential distribution generator method and Black-Scholes equation. The research conducted by Qosim et al [4] related to the use of Trigger Value in line with Lestari et al [3].…”

“…According to Putri et al [2], the higher the rainfall, the higher the premium rate paid would be. Furthermore, Lestari et al [3] used a mean reversion with jump method and Black-Scholes equation to determine the amount of premium of internationally based agricultural insurance for coffee commodities. Lestari et al [3] used different Trigger Values, and increase in Trigger Value would result in increased premium rate.…”

Penentuan Nilai Premi Asuransi Pertanian Berbasis Indeks Curah Hujan Pada Komoditas Kedelai Yang Disimulasi Menggunakan Distribusi Weibull

“…Diperoleh hasil semakin tinggi curah hujan, akan semakin tinggi juga pembayaran premi. Selain itu, Lestari et al, (2017) (Otaya, 2016). Fungsi kepadatan probabilitas dari distribusi Weibull adalah (Bain and Engelhardt, 1991).…”