PENERAPAN HUKUM MORTALITA MAKEHAM DAN TINGKAT SUKU BUNGA STOKASTIK UNTUK PERHITUNGAN NILAI TUNAI MANFAAT

Huang, Valensia and Kristiani, Farah (2013) PENERAPAN HUKUM MORTALITA MAKEHAM DAN TINGKAT SUKU BUNGA STOKASTIK UNTUK PERHITUNGAN NILAI TUNAI MANFAAT. Jurnal Mat Stat, 13 (01). pp. 8-23. ISSN 1412-1220

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Abstract

Actuarial functions can be calculated by using mortality table and its approach by mortality law. One famous mortality law is Makeham mortality law. The mortality law approach towards the mortality table is applied because the result is continuous. The mortality law approach can explain any phenomenon which happens in a population. The discrepancies between data which is approached by data from Makeham mortality law and mortality table can affect the accuracy in estimating actuarial functions and actuarial present value of benefit. In this research, writer calculates the actuarial present value of benefit with constant interest rate, Vasicek and Cox-Ingersol-Ross (CIR) interest rate to anticipate the interest rate fluctuation. Writer uses data from United States mortality table period 1979-1981, 3rd Indonesian Mortality Table (2011) for men, 3rd Indonesian Mortality Table (2011) for women, and the approximation by Makeham mortality law. Writer intends to discuss the relation between age of the insured and stochastic interest rate parameters to the actuarial present value of benefit. Furthermore, writer compares the actuarial present value of benefits obtained from mortality tables and their approximation. It can be inferred that the actuarial present value of benefit is influenced by age of the insured and parameters from each of the stochastic interest rate.

Item Type: Article
Subjects: MATHEMATICS & STATISTICS
Depositing User: - Anindito
Date Deposited: 18 Apr 2013 04:28
Last Modified: 18 Apr 2013 04:28
URI: http://eprints2.binus.ac.id/id/eprint/25626

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