Asymptotics for ultimate ruin probability in a by-claim risk model

This paper considers a by-claim risk model with constant interest rate in which the main claim and by-claim random vectors form a sequence of independent and identically distributed random pairs with each pair obeying some certain dependence or arbitrary dependence structure. Under the assumption of heavy-tailed claims, we derive some asymptotic formulas for ultimate ruin probability. Some simulation studies are also performed to check the accuracy of the obtained theoretical results via the crude Monte Carlo method.

Asymptotic Ruin Probability of a Bidimensional Risk Model Based on Entrance Processes with Constant Interest Rate

In this paper, the risk model with constant interest based on an entrance process is investigated. Under the assumptions that the entrance process is a renewal process and the claims sizes satisfy a certain dependence structure, which belong to the different heavy-tailed distribution classes, the finite-time asymptotic estimate of the bidimensional risk model with constant interest force is obtained. Particularly, when inter-arrival times also satisfy a certain dependence structure, these formulas still hold.

PERHITUNGAN AKTUARIA MANFAAT PENSIUN-NORMAL SUKU BUNGA VASICEK MENGGUNAKAN METODE ENTRY AGE NORMAL

Vasicek is one of the stochastic interest rate models that can figure out fluctuating interest rate movements. This study aims to determine the actuarial calculation of normal contributions and actuarial liability with Vasicek interest rates using entry age normal (EAN) method. Based on the calculation of normal contribution and actuarial liability with Vasicek interest rate using this method for normal retirement age of 56 years obtained a smaller value than using constant interest rate.

PREFERENSI KONSUMEN TERHADAP FAKTOR-FAKTOR PENENTU KEPUASAN KONSUMEN DALAM PENGAMBILAN KEPUTUSAN PEMBELIAN PERUMAHAN BERSUBSIDI DI KARAWANG

In the conditions of competitions among subsidized housing developers, attention should be given to the determinants of consumer satisfactions in the purchasing process of subsidized housing products, especially in Karawang. The low price of land in Karawang is expected to stimulate developers to build subsidized housing. Million House Program from Kemenpera provides a very low 5% price subsidy and a constant interest rate over the tenor of credit. However, this does not automatically make consumers buy subsidized houses built in Karawang. Therefore, the authors conduct research by distributing questionnaires directly to residents in Taman Palumbon Asri housing. Bhumi Baru Indah Persada and Griya Indah which is all located in Karawang. The purpose of this research is to identify the influence of price factor, location, condition of environment and condition of building to decision making of purchase and to identify consumer satisfaction toward subsidized housing, with sample 3 subsidized housing in Karawang. Whiter uses Index Compatibility Level to measure level of satisfaction and level of interest for each housing, and then analyze them by considering each factors (location, price, quality of building, and environmental factors)Keywords: Price, Location, Building, Environment, Consumer Satisfaction, Purchasing Decision, Index Compatibility Level.

Perhitungan Iuran Normal Program Pensiun dengan Asumsi Suku Bunga Mengikuti Model Vasicek

Labor has a very important role for national development. One way to optimize their productivity is to guarantee a certainty to earn income after retirement. Therefore the government and the private sector must have a program that can ensure the sustainability of this financial support. One option is a pension plan. The purpose of this study is to calculate the normal cost with the interest rate assumed to follow the Vasicek model and analyze the normal contribution of the pension program participants. Vasicek model is used to match with the actual conditions. The method used in this research is the Projected Unit Credit Method and the Entry Age Normal method. The data source of this research is lecturers of FMIPA Unud. In addition, secondary data is also used in the form of the interest rate of Bank Indonesia for the period of January 2006-December 2015. The results of this study indicate that the older the age of the participants, when starting the pension program, the greater the first year normal cost and the smaller the benefit which he or she will get. Then, normal cost with constant interest rate greater than normal cost with Vasicek interest rate. This occurs because the Vasicek model predicts interest between 4.8879%, up to 6.8384%. While constant interest is only 4.25%. In addition, using normal cost that proportional to salary, it is found that the older the age of the participants the greater the proportion of the salary for normal cost.

The Optimal Strategy of Reinsurance-Investment Problem for an Insurer with Dynamic Income Under Stochastic Interest Rate

This paper considers the reinsurance-investment problem for an insurer with dynamic income to balance the profit of insurance company and policy-holders. The insurer’s dynamic income is given by a net premium minus a dynamic reward budget item and the net premium is obtained according to the expected premium principle. Applying the stochastic control technique, a Hamilton-Jacobi-Bellman equation is established under stochastic interest rate model and the explicit solution is obtained by maximizing the insurer’s power utility of terminal wealth. In addition, the comparison with corresponding results under constant interest rate helps us to understand the role and influence of stochastic interest rates more in-depth.