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Edwin Setiawan Nugraha
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edwin.nugraha@president.ac.id
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Kota Jababeka, Cikarang, Kabupaten Bekasi, Jawa Barat
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INDONESIA
Journal of Actuarial, Finance, and Risk Managment
Published by President University
ISSN : -     EISSN : 28303938     DOI : -
Core Subject : Economy, Education,
Economics, Econometrics & Finance Mathematics
This journal aims to provide high quality articles covering any and all aspects of the most recent and significant developments in the actuarial, financial, and risk management.
Arjuna Subject : Ilmu Ekonomi, Ekonometrika dan Keuangan (semua kategori) - Ilmu Ekonomi, Ekonometrika dan Keuangan (Lain-Lain)
Articles 5 Documents
 1 
Search results for , issue "Vol 2, No 1 (2023)" : 5 Documents clear
ARIMA Model and Holt Winters Seasonal Smoothing Accuracy for Stock Price Prediction Agus Sofian Eka Hidayat; Putu Darmawan
Journal of Actuarial, Finance, and Risk Management Vol 2, No 1 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v2i1.4521

Abstract

One way to generate capital is by investments in the capital market, with the expectation that this money will increase in tandem with an issuer's stock price. In the past few decades, technology for communication and information has developed incredibly quickly, followed by the introduction of 5G, which boosts data transfer rates. This study intends to compare the accuracy of SARIMA and HOLTS WINTER SEASONAL SMOOTHING in predicting the price of TLKM. The SARIMA (1, 1, 1) x (0, 1, 1) 52 model outperforms Holt's Winter Seasonal Smoothing with a 3% MAPE in terms of forecasting TLKM stock price data
Forecasting PT Bank Central Asia Tbk Stock Price Using ARIMA Model Agna Olivia; Edwin Setiawan Nugraha
Journal of Actuarial, Finance, and Risk Management Vol 2, No 1 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v2i1.4563

Abstract

Stocks are one of the most popular financial market instruments. Issuing shares is one of the company's options when deciding to fund the company. On the other hand, stocks are an investment instrument that many investors choose because stocks are able to provide an attractive level of profit. Autoregressive Integrated Moving Average (ARIMA) model is a method used to predict the stock price of PT Bank Central Asia Tbk. This analysis shows that ARIMA (3,2,0) is the best model for forecasting the stock price of PT. Bank Central Asia Tbk because it has the smallest MAPE among the other model which is 14.03%. This forecasting is very useful for the investor as a guideline in the future for making effective and efficient decisions about stocks on PT Bank Central Asia Tbk.
Analysis of Premium Reserve Using Zillmer Method and Canadian Method for Endowment Joint Life Insurance Yuhza Al Ghifari; Fauziah Nur Fahirah Sudding
Journal of Actuarial, Finance, and Risk Management Vol 2, No 1 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v2i1.4551

Abstract

Several life insurance companies are unable to compensate policyholder prompting financial losses, the situation can be foreseen if the insurance company has a properly established and calculated reserve value. Endowment life insurance is one types of life insurance. Life insurance provides protection for one person (single life) or two or more people (multiple life). According to the insured death status, there are two terminologies used in multiple life insurance: joint life and last survivor. The Zillmer Method and Canadian Method used in this study for 3 age cases for a couple of husband and wife whereas a husband is older than wife, a husband has the same age as wife, and a husband is younger than wife to determine the amount of reserves adjusted for endowment joint life insurance. Researchers first determine the benefits, then calculate the annuity, and finally calculate the annual premium in order to compute reserves. The Zillmer Method premium reserve value is minus in the beginning year to cover cost for the company, meanwhile Canadian Method is not. According to the result of this study, the case that the age of wife is same as the husband have lesser reserve than any cases which represent this is beneficial for the company to cover several costs for the policy in the beginning of period. Based on data analysis, the period of the insurance contract and the age of the insured define the reserve value. The older the insurance participant, the lesser the value of reserve.
Estimation of Premium Reserves for Last Survivor Endowment Insurance Using the New Jersey Method Bella Dwi Ananda; Fauziah Nur Fahirah Sudding
Journal of Actuarial, Finance, and Risk Management Vol 2, No 1 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v2i1.4564

Abstract

There are a few cases of life insurance firms going bankrupt due to mistakes when estimating premium reserves, causing companies unable to pay compensation to policyholders. This is caused when the number of claims submitted by the insured that must be paid exceeds the number of claims previously estimated. Situations like this can be anticipated if the insurance firm has a properly prepared and calculated reserve value. There are various types of life insurance, one of which is endowment life insurance. The purpose of this study is to calculate the amount of reserves adjusted for last survivor endowment life insurance using the New Jersey method. To compute reserves, first, researchers determine the benefits, then the annuity, and finally the annual premium. In the first year, the premium reserve value under the New Jersey method is zero. The New Jersey method begins premium reserves in the second year, for t years, with  where  reflecting the duration of the insurer's contract. Based on the data analysis performed, the value of the New Jersey reserves for the two insureds is determined by the length of the insurance contract and the age of the insured at the time of insurance. The value of reserves is seen based on the initial age of a person when starting insurance, the older the initial age of the insurance participant, the greater the amount of reserves obtained by the company. This research is expected can be a reference and help insurance field to estimate premium reserves.
Forecasting the Monthly Stock Price per Share of Taiwan Semiconductor Manufacturing Company Limited (TSM) using ARIMA Box-Jenkins Method Gabriella Maria Singgih; Edwin Setiawan Nugraha
Journal of Actuarial, Finance, and Risk Management Vol 2, No 1 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v2i1.4560

Abstract

Taiwan Semiconductor Manufacturing Company Limited is a Taiwanese multinational semiconductor contract manufacturing and design company. People can buy Stocks from Taiwan Semiconductor Manufacturing Company Limited. Stocks are one of the attractive investment instruments for companies and individuals. There are some theories and analyses to predict stock prices to help investors make wiser decisions when buying and selling stock portfolios. In this study, researchers will use ARIMA(p,d,q) technical analysis to predict the stock price of Taiwan Semiconductor Manufacturing Company Limited for the next 5 months from January 1, 2005 to May 1, 2005. For this forecasting, researchers used Taiwan Semiconductor Manufacturing Company Limited historical stock price data from January 1, 1998 to December 31, 2004 that was obtained from the Yahoo Finance website. Based on the test results of 8 ARIMA models, the best model that researchers got is model 2 ARIMA (2,1,1) with the equation Yt = 0.0759Yt-1 + 0.2706Yt-2 + et - 0.198et-1. This model is considered to be the best because it has the smallest MSE Value, which is 0.1076018; the smallest RMSE value, which is 0.0301156; the smallest MAE value, which is 0,2495926; and the smallest MAPE value, which is 3.0116%. This study shows that the stock price is predicted to rise for the next 5 months from January 1, 2005 to May 1, 2005.

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