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In recent years, insurance company have been developing Unit-Linked Insurance Plan (ULIP) more as it is less risky for the company than traditional product since investment is made in the fund chosen by policy holder and the policy holder himself is the one reaping gains from the investation. Becaus...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/24348 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | In recent years, insurance company have been developing Unit-Linked Insurance Plan (ULIP) more as it is less risky for the company than traditional product since investment is made in the fund chosen by policy holder and the policy holder himself is the one reaping gains from the investation. Because of its 'high risk, high return' nature, in Indonesia this type of product have potential for a greater market as it appeals to the younger public which is the population group in excess in Indonesia. <br />
In ULIP there are to two kinds of risks we are concerned about, mortality risk and financial market risk. These two behavior will be modeled separately, the financial component using binomial lattice model and the insurance component using stochastic evolution; both using probability under Equivalent Martingale Measure (EMM). These two models will be joined using copula. The purpose of this paper is to present a simple pricing method to determine net single premium of ULIP. A simulation of net single premium calculation will be performed for term life insurance ULIP product of 5 years. |
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