Perhitungan Premi Dan Proft Testing Asuransi Jiwa Unit Link Menggunakan Metode Point-To-Point dan Model Black-Scholes pada Manfaat Investasi

Handi, Anies Aulia (2024) Perhitungan Premi Dan Proft Testing Asuransi Jiwa Unit Link Menggunakan Metode Point-To-Point dan Model Black-Scholes pada Manfaat Investasi. Other thesis, Institut Teknologi Sepuluh Nopember.

Text 5006201095-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 October 2026. Download (4MB) | Request a copy

Abstract

Asuransi unit link merupakan salah satu perkembangan asuransi modern yang menawarkan manfaat perlindungan asuransi jiwa sekaligus manfaat investasi. Nilai investasi pada kenyataannya dapat mengalami perubahan kenaikan dan penurunan yang membawa risiko finansial sesuai pada kondisi pasar keuangan. Penurunan atau kenaikan harga saham yang terjadi secara drastis dapat mempengaruhi hasil nilai investasi. Fluktuasi harga saham dalam nilai investasi dapat diatasi dengan adanya perlindungan garansi minimum dan garansi maksimum dengan menggunakan metode Point-to-Point dan model Black-Scholes. Saham yang digunakan pada instrumen investasi penelitian ini yaitu, saham PT. Bank Mandiri (Persero) Tbk (BMRI.JK). Hasil premi yang diperoleh menunjukkan bahwa premi dengan menggunakan metode Point-to-Point memiliki nilai yang lebih besar dibandingkan dengan model Black-Scholes. Hal ini disebabkan karena adanya tambahan faktor penentu perhitungan kinerja atau nilai investasi, yaitu adanya tingkat partisipasi dan cap rate, akan tetapi perbedaan premi antara kedua metode tidak terlalu signifikan. Selanjutnya, hasil simulasi profit testing menunjukkan bahwa NPV tertinggi dihasilkan pada pemegang polis laki-laki berusia 45 tahun dengan variasi skenario masa pertanggungan 10 tahun, perhitungan premi berdasarkan metode Point-to-Point dengan hasil NPV sebesar Rp3.938.575,22. Hasil analisis sensitivitas berdasarkan parameter incurred expenses, management charges dan premi, menunjukan bahwa hanya parameter premi yang elastis terhadap NPV. Penelitian menunjukan, bagi perusahaan asuransi jika ingin meningkatkan perolehan keuntungan, besarnya premi yang akan di bayarkan oleh pemegang polis dapat dinaikan.

========================================================================================================================

Unit-linked insurance is one of the modern insurance developments that offers life insurance protection benefits as well as investment benefits. Investment value in reality can experience changes in increase and decrease which carry financial risks according to financial market conditions. A drastic decrease or increase in stock prices can affect the results of investment value. Stock price fluctuations in investment value can be overcome by the existence of minimum warranty and maximum warranty protection using the Point-to-Point method and the Black-Scholes model. The shares used in this research investment instrument are shares of PT Bank Mandiri (Persero) Tbk (BMRI.JK). The premium results obtained show that the premium using the Point-to-Point method has a greater value than the Black-Scholes model. This is due to the additional factors that determine the calculation of investment performance or value, namely the participation rate and cap rate, but the difference in premiums between the two methods is not too significant. Furthermore, the results of the profit testing simulation show that the highest NPV is generated for male policyholders aged 45 years with a 10-year coverage period scenario variation, premium calculation based on the Point-to-Point method with NPV results of Rp3,938,575.22. The results of sensitivity analysis based on the parameters of incurred expenses, management charges and premiums, show that only the premium parameter is elastic to the NPV. The research shows that for insurance companies, if they want to increase profits, the amount of premium to be paid by policyholders can be increased.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Black Scholes, Options, Point to Point, Profit Testing, Unit Linked Life Insurance Asuransi Jiwa Unit Link, Black-Scholes, Opsi, Point to Point, Profit Testing
Subjects:	Q Science > Q Science (General) > Q180.55.M38 Mathematical models
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Anies Aulia Handi
Date Deposited:	01 Aug 2024 02:05
Last Modified:	01 Aug 2024 02:05
URI:	http://repository.its.ac.id/id/eprint/109507

Actions (login required)

View Item