THE INFLUENCE OF FORCE OF INTEREST RATES AUTOREGRESSIVE MODEL ON STOCHASTIC OR ACCOUNTING SURPLUS CALCULATION CASE STUDY: COMPARISON OF TIME SERIES AND ACCOUNTING PREMIUM ON JAMINAN KEMATIAN

• Main Author: Nurul Malik, Nuruma
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/23607
• Institution: Institut Teknologi Bandung

In financial risk analysis, surplus is an important indicator of an insurance’s company financial position. In surplus modelling, constant force of interest rate as an assumption is often used to convert present and future value of money. Utilizing this assumption at least has two weaknesses, the variability of force of interest rate is excluded and inaccurate calculation of present and future value of insurance product. To overcome this, force of interest rate is assumed to follow autoregressive model. In this thesis, surpluses in valuation date r, stochastic and accounting, are calculated for Jaminan Kematian policyholder age of x. Based on PP No. 70 year 2015, JKM premium rate is 0.3% of policyholder salary and the benefit of mourning money is three times of policyholder salary so that premium and benefit are random variables. Premium and severity claim data are categorized based on each age’s characteristic, that is 20-30 years old, 31-40 years old, 41-50 years old, and 51-60 years old. The results of fitting distribution for claim severity in each age class respectively, that is Weibull (41,74;30.121,78), Gamma (791,05;0,03), Weibull (21,02;33.058,4), and Weibull (34,16;35.700). The results of fitting distribution for premium severity in each age class respectively, Weibull (12,62;7,71), Gamma (77,76;9,48), Gamma (28,52;2,87), and Weibull (11,84;13,12). For sample surplus calculation, 25, 35, 45, and 55 years old are selected. Stochastic and accounting surplus are calculated with first calculated retrospective gain, prospective loss, and actuarial reserve. From the results of these calculations can be concluded that JKM always generate losses at least in first 10 years so that the premium rate 0.3% of salary needs to be reviewed.