Tjahjono, Venansius Ryan (2019) Valuasi Premi Asuransi Deposito dengan Volatilitas Regime Switching N Kondisi menggunakan Pendekatan Monte Carlo dan Kuasi Monte Carlo. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Asuransi deposito merupakan suatu mekanisme untuk melindungi nasabah bank secara sebagian atau seutuhnya dari risiko kehilangan uang yang disebabkan oleh keterlambatan bank dalam membayar utang. Valuasi premi pada penelitian ini menggunakan relasi isomorpik pada opsi jual tipe Eropa sehingga memotivasi digunakannya gerak Brown geometrik. Mekanisme regime switching pada volatilitas digunakan pada model gerak Brown geometrik agar nilai premi lebih sesuai dengan kondisi finansial bank. Karena valuasi dengan solusi analitik cukup rumit, digunakan pendekatan Monte Carlo dan Kuasi Monte Carlo. Hasil simulasi menunjukkan bahwa pendekatan Kuasi Monte Carlo bisa mempersingkat waktu komputasi sebab harga premi sudah relatif konvergen untuk iterasi yang kecil. Selain itu, diberikan analisis mengenai faktor yang memengaruhi tinggi rendahnya nilai premi asuransi deposito.
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Deposit insurance is a mechanism to protect bank customer's partly or fully of the risk of a bank's fail in paying its debt when due. Regarding to this definition, it is important to know how to calculate the premium. In this study, the valuation of premium used isomorphic relations to European put options. This motivated the use of the geometric Brownian motion model. The regime switching mechanism of volatility is implemented on the geometric Brownian motion model so that the premium value is more suitable with the change of bank's financial conditions. Since the valuation using an analytical solution is quite difficult, Monte Carlo and Quasi Monte Carlo approaches are used. Numerical result confirms that Quasi Monte Carlo approach obtains a more efficient computational time due to relatively converge premium prices in a small number of iterations. In addition, an analysis of factors affecting the value of deposit insurance premium is also provided.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 518.282 Tja v-1 2019 |
| Uncontrolled Keywords: | Asuransi Deposito, Kuasi Monte Carlo, Monte Carlo, Regime Switching |
| Subjects: | Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models. Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA9.58 Algorithms T Technology > T Technology (General) > T174 Technological forecasting T Technology > T Technology (General) > T57.62 Simulation |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Tjahjono Venansius Ryan |
| Date Deposited: | 28 Mar 2023 03:08 |
| Last Modified: | 28 Mar 2023 03:08 |
| URI: | http://repository.its.ac.id/id/eprint/63803 |
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