Ulnazilla, Vira Diana (2019) Kajian Formula Analitis Harga Opsi Catastrophe Equity Put (CatEPut) Amerika Perpetual dengan Adanya Moderate Correlation Coefficient. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Bencana alam merupakan kejadian yang sulit diprediksi dan menimbulkan kerugian yang besar. Perusahaan asuransi memiliki peran untuk melakukan ganti rugi apabila pemegang polis mengalami kerugian, seperti bencana alam. Hal ini mengakibatkan perusahaan asuransi harus mengambil langkah preventif untuk mengatasi kerugian yang ditimbulkan oleh bencana alam. Salah satu caranya adalah dengan menggunakan instrumen keuangan berupa opsi CatEPut Amerika perpetual. Jenis opsi ini membantu perusahaan asuransi mendapatkan dana apabila terjadi suatu bencana alam selama dalam waktu kontrak opsi. Pada Tugas Akhir ini, dilakukan perhitungan untuk mendapatkan formula analitis dari harga opsi CatEPut Amerika perpetual dengan memerhatikan pengaruh adanya moderate correlation coefficient di antara pergerakan harga saham perusahaan asuransi dengan kerugian akibat bencana alam. Hasil simulasi numerik, menunjukkan bahwa semakin tinggi tingkat korelasi koefisien, semakin tinggi pula harga dari opsi CatEPut Amerika perpetual. Namun,perbedaan harga saham, tingkat suku bunga, frekuensi bencana, volatilitas harga saham dan trigger level berpengaruh pada naik turunnya harga opsi CatEPut Amerika perpetual. ========================================================= Catastrophe event is hard to predict and cause large losses. The increasing frequency of catastrophe event has affected insurance company by taking the responsibility to pay compensation to policy holder. In order to hedge against risk or covering losses by catastrophe event, insurance companies need to use the financial instrument namely perpetual American CatEPut options. This kind of options, could help insurance companies raise more equity capital when catastrophe event occurs during the life of the option. The valuation of analytical formula for perpetual American CatEPut options will be obtained in this study by observing the effect of moderate correlation coefficient between stock prices movement and catastrophe losses. The result of numerical analysis presented that, the bigger moderate correlation coefficient, the higher price of perpetual American CatEPut options. Furthermore, the difference of stock price, interest rate, volatility, catastrophe frequency, and trigger level, give different result for the price of perpetual American CatEPut options.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 519.233 Uln k-1 2019 |
| Uncontrolled Keywords: | Instrumen Keuangan, Moderate Correlation Coefficient, Opsi CatEPut Amerika Perpetual, Pemegang Polis |
| Subjects: | Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA614.58 Catastrophes |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Vira Diana Ulnazilla |
| Date Deposited: | 27 Mar 2023 01:56 |
| Last Modified: | 27 Mar 2023 01:56 |
| URI: | http://repository.its.ac.id/id/eprint/63801 |
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