Analisis Profit Testing Asuransi Unit-Link Untuk Asset Return Yang Berdistribusi Variance-Gamma Dan Lognormal

Rahmandri, Claresta Annisa (2025) Analisis Profit Testing Asuransi Unit-Link Untuk Asset Return Yang Berdistribusi Variance-Gamma Dan Lognormal. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Asuransi unit-link atau unit-linked insurance plan (ULIP) merupakan produk asuransi nontradisional yang menawarkan dua manfaat kepada pemegang polis, yakni manfaat asuransi dan manfaat investasi. Akibatnya, pemegang polis tidak hanya menghadapi risiko proteksi, tetapi juga risiko investasi akibat return yang fluktuatif. Ketergantungan asuransi unit-link terhadap peforma produk investasi juga menyebabkan ketidakpastian dalam menentukan uang pertanggungan yang perlu dipersiapkan oleh perusahaan asuransi. Perusahaan asuransi dapat mengatasi tantangan tersebut dengan melakukan analisis cash flows dengan metode profit testing untuk mengevaluasi keuntungan atau kerugian dari suatu produk asuransi. Salah satu pendekatan yang umum digunakan dalam profit testing adalah metode stokastik, yakni pendekatan yang mengasumsikan asset return akan mengikuti suatu distribusi tertentu. Dalam penelitian ini, asset return dimodelkan dengan distribusi lognormal dan distribusi variance-gamma. Selanjutnya, dilakukan evaluasi pengaruh parameter dari distribusi lognormal dan distribusi variance-gamma terhadap Net Present Value (NPV) produk asuransi unit-link. Selain itu, produk asuransi unit-link dimodelkan menggunakan multiple decrement model dengan tiga exit state, yaitu kematian, surrender, dan lapse. Analisis profit testing dilakukan untuk pemegang polis laki-laki dan perempuan dengan usia masuk 40 tahun dan masa pertanggungan polis selama 20 tahun. Hasil penelitian menunjukkan bahwa distribusi variance-gamma lebih cocok dan lebih baik dalam memodelkan data return dibandingkan distribusi lognormal. Jika dilihat dari hasil NPV baik untuk pemegang polis laki-laki maupun perempuan, maka distribusi lognormal memberikan nilai NPV yang lebih besar dibandingkan distribusi variance-gamma. Akan tetapi, NPV dengan asset return yang berdistribusi variance-gamma lebih representatif terhadap kondisi nyata dibandingkan asset return yang berdistribusi lognormal. Sementara itu, hasil perubahan parameter baik dari distribusi lognormal maupun distribusi variance-gamma menunjukkan pengaruh yang signifikan terhadap hasil NPV.
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Unit-linked insurance plans (ULIPs) are non-traditional insurance products that offer two benefits to policyholders: insurance protection and investment benefits. Consequently, policyholders face not only protection risks but also investment risks due to fluctuating returns. The reliance of ULIPs on the performance of investment products also creates uncertainty in determining the sum assured that insurance companies need to prepare. Insurance companies can address this challenge by conducting cash flow analysis using the profit testing method to evaluate the profitability or loss of an insurance product. One commonly used approach in profit testing is the stochastic method, which assumes asset returns follow a particular distribution. In this study, asset returns are modeled using the lognormal and variance-gamma distributions. Subsequently, the effect of parameters from both distributions on the net present value (NPV) of ULIP products is evaluated. Additionally, the ULIP product in this study is modeled using a multiple decrement model with three exit states: death, surrender, and lapse. The profit testing analysis was conducted for male and female policyholders with an entry age of 40 years and a policy term of 20 years. The results indicate that the variance-gamma distribution is more suitable and effective in modeling return data than the lognormal distribution. When evaluating the NPV results for male and female policyholders, the lognormal distribution provides higher NPV values than the variance-gamma distribution. However, NPVs based on asset returns following the variance-gamma distribution are more representative of real-world conditions than those based on the lognormal distribution. Furthermore, changes in parameters of both the lognormal and variance-gamma distributions show significant effects on the resulting NPV.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Lognormal, Net Present Value (NPV), Profit Testing, Unit-Link Insurance, Variance-Gamma, Asuransi Unit-Link
Subjects:	Q Science > Q Science (General) > Q180.55.M38 Mathematical models Q Science > QA Mathematics > QA11 .A36 1991 Mathematics--Study and teaching. Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models. Q Science > QA Mathematics > QA401 Mathematical models.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Claresta Annisa Rahmandri
Date Deposited:	10 Jan 2025 01:13
Last Modified:	10 Jan 2025 01:13
URI:	http://repository.its.ac.id/id/eprint/116249

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