E-Jurnal Matematika
Vol 6 No 1 (2017)

PERBANDINGAN HASIL PERHITUNGAN PREMI ASURANSI JIWA ENDOWMENT SUKU BUNGA VASICEK DENGAN DAN TANPA SIMULASI MONTE CARLO

DESI KURNIA SARI (Faculty of Mathematics and Natural Sciences, Udayana University)
I NYOMAN WIDANA (Faculty of Mathematics and Natural Sciences, Udayana University)
KARTIKA SARI (Faculty of Mathematics and Natural Sciences, Udayana University)

Article Info

Publish Date
20 Jan 2017

Abstract

Vasicek is one of the stochastic interest rate model that can capture interest rates movement. The aim of this research was to get the comparison of the level premium for an endowment life insurance under stochastic interest rate without and by using Monte Carlo simulation. The result show that the level premium without Monte Carlo simulation is not much different from the result of the level premium by using Monte Carlo simulation. However, the premium calculation  by using Monte Carlo simulation can also be searched the range of losses and gains of the insurance company at certain confidence interval. In this case using a confidence interval of 95%.

Copyrights © 2017




Citation Download
RIS
EndNote, Reference Manager, ProCite
BibTex
Latex, Jabref
Original Source
Download Original
Google Scholar
Check in Google Scholar
Journal Info
E-Jurnal Matematika
Website

Abbrev

mtk

Publisher

Universitas Udayana

Subject

Mathematics

Description

E-Jurnal Matematika merupakan salah satu jurnal elektronik yang ada di Universitas Udayana, sebagai media komunikasi antar peminat di bidang ilmu matematika dan terapannya, seperti statistika, matematika finansial, pengajaran matematika dan terapan matematika dibidang ilmu lainnya. Jurnal ini lahir ...