DETERMINATION OF PENSION FUND CONTRIBUTIONS USING VASICEK INTEREST RATE MODEL WITH PARTITION

• Main Author: Angelo Kuntadi, Christoffel
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/84077
• Institution: Institut Teknologi Bandung

In recent decades, financial knowledge has provided insights for people to prepare funds for their old age, one of which is in the form of pension funds. Pension funds are offered by two institutions in Indonesia, namely DPPK (Employer Pension Fund) and DPLK (Financial Institution Pension Fund), which are supervised by the Financial Services Authority (OJK). Pension funds are created with the aim that workers can continue to live decently after they stop working until old age by paying monthly pension contributions. The contributions received are generally invested in investment instruments to obtain returns that provide significant benefits for workers in the future. This study aims to estimate the contributions that workers need to pay to achieve the desired benefits using interest rates modeled by Vasicek with partitions. The data used is from pension fund participants of ABC company and the method used is the Vasicek stochastic interest rate model with partitions and the salary rate function. From the experiments conducted, it was found that with the Vasicek stochastic interest rate model with partitions, workers must pay 20,58% of their basic salary each month to achieve the desired benefits in old age, which is 70% of the wages during the last three years of working.