PERBANDINGAN HASIL PERHITUNGAN PREMI ASURANSI JIWA ENDOWMENT SUKU BUNGA VASICEK DENGAN DAN TANPA SIMULASI MONTE CARLO

  • DESI KURNIA SARI Faculty of Mathematics and Natural Sciences, Udayana University
  • I NYOMAN WIDANA Faculty of Mathematics and Natural Sciences, Udayana University
  • KARTIKA SARI Faculty of Mathematics and Natural Sciences, Udayana University

Abstract

Vasicek is one of the stochastic interest rate model that can capture interest rates movement. The aim of this research was to get the comparison of the level premium for an endowment life insurance under stochastic interest rate without and by using Monte Carlo simulation. The result show that the level premium without Monte Carlo simulation is not much different from the result of the level premium by using Monte Carlo simulation. However, the premium calculationĀ  by using Monte Carlo simulation can also be searched the range of losses and gains of the insurance company at certain confidence interval. In this case using a confidence interval of 95%.

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Author Biographies

DESI KURNIA SARI, Faculty of Mathematics and Natural Sciences, Udayana University

Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

I NYOMAN WIDANA, Faculty of Mathematics and Natural Sciences, Udayana University

Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

KARTIKA SARI, Faculty of Mathematics and Natural Sciences, Udayana University

Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Published
2017-01-20
How to Cite
SARI, DESI KURNIA; WIDANA, I NYOMAN; SARI, KARTIKA. PERBANDINGAN HASIL PERHITUNGAN PREMI ASURANSI JIWA ENDOWMENT SUKU BUNGA VASICEK DENGAN DAN TANPA SIMULASI MONTE CARLO. E-Jurnal Matematika, [S.l.], v. 6, n. 1, p. 74-82, jan. 2017. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/27187>. Date accessed: 29 sep. 2022. doi: https://doi.org/10.24843/MTK.2017.v06.i01.p150.
Section
Articles

Keywords

Premium calculation; Endowment life insurance; Vasicek; Monte Carlo simulation

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