PENERAPAN METODE BAYES DALAM MENGESTIMASI PREMI KREDIBILITAS PADA ASURANSI UMUM

Determination of insurance premiums is very important the calculation must be done carefully so that there is experience losses. The purpose of this research is to find out the application of empirical Bayes credibility theory Model 1 and estimate of the credibility premium on general insurance. A method that can help in overcoming these problems, that is empirical Bayes credibility theory Model 1, results of the estimated credibility premium credibility (in Euros) for insurance companies Alianz, Csob, Generali, Koop, Unisqa, and Wusten respectively as follows: 46.774811, 7.801307, 10.368991, 58.812250, 6.703035, and 5.091605. These results, the average claim is greater than the credibility premium, so that insurance companies can reserve premiums for the future.

ANALISIS RISIKO PORTOFOLIO MENGGUNAKAN METODE SIMULASI MONTE CARLO CONTROL VARIATES

Value at Risk (VaR) is a method to measure the maximum loss with a certain level of confidence in a certain period. Monte Carlo simulation is the most popular method of calculating VaR. The purpose of this study is to demonstrate control variates method as a variance reduction method that can be applied to estimate VaR. Moreover, it is to compare the results with the normal VaR method or analytical VaR calculation. Control variates method was used to find new returns from all stocks which are used as estimators of the control variates. The new returns were then used to define parameters needed to generate N random numbers. Furthermore, the generated numbers were used to find the VaR value. The method was then applied to estimate a portfolio of the game and esports company stocks that are EA, TTWO, AESE, TCEHY, and ATVI . The results show Monte Carlo simulation gives VaR of US$41.6428 within 1000 simulation, while the analytical VaR calculation or normal VaR method gives US$30.0949.

PENENTUAN CADANGAN PREMI ASURANSI DWIGUNA MENGGUNAKAN METODE ILLINOIS BERDASARKAN HUKUM MORTALITAS WEIBULL

Endowment insurance provides protection benefit and saving benefits. In the endowment insurance the insured party (insurance participant) must be paid the premiums. In addition to premiums, there is also policy value, which is sum of money that must be collected by the company in preparation for claim payment. The purpose of this study was to determine calculation of policy value in endowment insurance using Illinois method based on Weibull Mortality Law. In this study used secondary data from United States Life Table in the form of mortality probability data. Calculation value using Weibull mortality law, then the policy value calculated by Illinois method. The result of this study is policy value using Illinois Method based on Weibull Mortality Law is bigger than policy value using Illinois method without Weibull mortality law in the first year until year 20th. After year 20th, the policy value using Illinois method based on Weibull mortality law is smaller than policy value using Illinois method without Weibull mortality law, while at the end of the insurance year which is year 30th, the policy value with or without Weibull mortality law generates the same value.

ANALISIS PENJADWALAN PRODUKSI MENGGUNAKAN METODE CAMPBELL DUDEK SMITH DAN DANNENBRING DALAM MEMINIMUMKAN TOTAL WAKTU PRODUKSI BERAS

The increasing needs for basic materials has resulted in an increased production process of basic materials in a company. CV. Puspa is a manufacturing company engaged in the production of rice, on the production process, CV. Puspa often has a buildup of work so that it requires an alternative production scheduling optimally. This research was conducted to minimize the total time of completion using the Campbell Dudek Smith and Dannenbring method in determining efficient production scheduling. Based on the scheduling sequence obtained, the calculation results of the total completion time using the Campbell Dudek Smith method are less than or equal to the results of calculation using the Dannenbring method. So the Campbell Dudek Smith method is more efficient than the Dannenbring method to be applied to CV. Puspa.

PENENTUAN PREMI DAN CADANGAN PADA ASURANSI PENDIDIKAN DENGAN MEMERHATIKAN PELUANG HIDUP ANAK

Education insurance provides services in the field of education. In education insurance, the insured not only gets protection benefits but also education funds. These benefits will be received if they have paid premiums. Insurance companies also need to set the exact amount of policy value. The purpose of this study is to determine the premium and policy value of education insurance by taking into account the child's life chances. In this study, used secondary data from the 2011 Indonesian Mortality Table and illustrated data in the form of education fund data. Premium is obtained using the equivalence principle and policy value is obtained using the prospective method. In the calculation of premiums and policy values for education insurance premiums by taking into account the child's life chances, modifications are made, the amount of education funds multiplied by the child's life chances. The results given in this study are the amount of education insurance premium by taking into account the child's life chances is Rp 6.946.456,00. Policy value increases during the disbursement of education funds and decreases at the end of coverage.

PENGGUNAAN METODE PROJECTED UNIT CREDIT DAN AGGREGATE COST PADA ASURANSI PENSIUN NORMAL

Employees can be referred to as company assets because they play an important role in the progress and decline of a company. So the company can protect the welfare of employees when their age can no longer be productive, one of which is to include employees in pension fund insurance. This study aims to calculate and compare the normal contributions that participants must pay using the methods Projected Unit Credit and Aggregate Cost. The calculation of normal contributions using the method Projected Unit Credit uses the present value of the pension benefits divided by the length of service. The Method Aggregate Cost uses the present value of the pension benefits minus the accumulated funds and divided by the term annuity. The result of this research is that the normal contribution amount using the method Projected Unit Credit is lower in the payments in the first years than using the method Aggregate Cost. The Method contribution Projected Unit Credit increases significantly as the length of service period and the method Aggregate Cost increases slowly but increases sharply as the retirement age approaches.

PERAMALAN VOLATILITAS DAN ESTIMASI VALUE AT RISK (VaR) SAHAM BLUE CHIP PADA SEKTOR PERBANKAN

Investment is an activity to invest an asset to obtain a greater profit. The investment there's in great demand by investors are stock investments. Based on market capitalization, stocks are classified into first-tier, second-tier, and third-tier stocks. Stocks that have the highest market capitalization are first-tier or blue-chip stocks. Blue-chip stocks are stocks that are classified as main shares on the listing board on the IDX. Before investing, it's important to know the level of investment risk in order to make the right investment decisions. The purpose of this study is to determine the risk of investing in blue-chip stocks namely BRI, BCA, and Bank Mandiri through volatility forecasting using the GARCH, EGARCH, or TGARCH models. The data used is the daily closing price of shares for the period of 25 May 2005 to 21 May 2021 which was obtained through the Yahoo Finance website. Based on the research results, it's known that Bank Mandiri has the highest investment risk and BCA has the lowest investment risk. Based on these results, it can be suggested that investors who like risk can choose to invest in Bank Mandiri shares, and those who don't like risk can invest in BCA shares.

PERAMALAN JUMLAH PENUMPANG PESAWAT BANDARA I GUSTI NGURAH RAI MENGGUNAKAN EXPONENTIAL SMOOTHING DAN RUEY-CHYN TSAUR

Bali province is a tourist destination island with good transportation. Airplane is the most used transportation to go to Bali. Convenience of the airline passengers are the most important thing for I Gusti Ngurah Rai Airport Authorithy. An exact forecast method is needed to predict the numbers of passenger in the future. There are two types of forecasting methods; triple exponential smoothing and Fuzzy Time Series Ruey-Chyn Tsaur, however based on the research Fuzzy Time Series Ruey-Chyn Tsaur is better than triple exponential smoothing due to a small error MAPE (Mean Absolute Percentage Error) of 2,4% and plot is close to actual data.

PENENTUAN KEPUTUSAN INVESTASI SAHAM MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM) DENGAN PENAKSIR PARAMETER STOKASTIK

CAPM is a method of determining efficient or inefficient stocks based on the differences between individual returns and expected returns based on the CAPM’s positive value for efficient and negative value for inefficient stocks. The move to share prices in the process can influence investors's decisions in investing funds, so that it can be formulated in stochastic differential equations that form the Geometric Brownian Motion model (GBM). The purpose of the study is to determine return value using the CAPM based on share estimates and historical stock prices. The study uses secondary data that data a monthly closing of stock prices from December 2017 to December 2020. The GBG model's estimated stock price is used to determine the expected value return using the CAPM. In this case, it is called CAPM-Stochastic. Then the results of the CAPM-Stochastic was compared to the results of the CAPM-Historical to define efficient stocks and inefficient stocks. The results of research using CAPM-Stochastic obtained that HMSP, ICBP, KLBF, and WOOD shares are efficient stock while UNVR shares are inefficient. The results of CAPM-Historical obtained that HMSP, ICBP, KLBF, and UNVR shares are inefficient stocks and WOOD is an efficient stocks.