Siyamah, Imroatus (2019) Perbandingan Valuasi CAT Bond dengan Metode Monte Carlo dan Kuasi Monte Carlo. Masters thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Frekuensi terjadinya bencana alam sangat kecil, namun tingkat kerusakan dan risiko yang harus ditanggung bernilai sangat besar. Catastrophe bond (CAT Bond) adalah salah satu instrumen sekuritas keuangan terkait asuransi
yang bertujuan untuk mentransfer risiko dengan mengasuransikan peristiwa bencana alam ke pasar modal. Model kerugian bencana alam tanpa lompatan nilai mengikuti model geometric Brownian motion. Berdasarkan simulasi yang telah dilakukan dalam tesis ini, diperoleh hasih bahwa Metode kuasi Monte Carlo lebih baik dari metode Monte Carlo berdasarkan nilai Mean Absolute Presentage Error (MAPE) dan waktu komputasi. ================================================================================================================== The frequency of natural disasters is very small, but the loss of damage and the risks that must be borne are of enormous value. Catastrophe bond (CAT Bond) is one of the insurance linked �nancial securities instruments that
aims to transfer risk by insuring natural disaster events to the capital market. Model of natural disaster loss without a jump diffution process followed a geometric Brownian motion model. Based on the simulations carried out in this thesis, it was showed that the quasi Monte Carlo method is better than the Monte Carlo method based on the value of Mean Absolute Presentage Error (MAPE) and running time.
| Item Type: | Thesis (Masters) |
|---|---|
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Mathematics and Science > Chemistry > 47101-(S2) Master Thesis |
| Depositing User: | Imroatus Siyamah |
| Date Deposited: | 10 Aug 2026 08:00 |
| Last Modified: | 10 Aug 2026 08:00 |
| URI: | http://repository.its.ac.id/id/eprint/67838 |
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