Metode Entry Age Normal Dan Frozen Initial Liability Dalam Perhitungan Dana Pensiun Dengan Tabel Mortalitas Indonesia IV Dan Model Lee-Carter

Navisyah, Nela Aidatun (2025) Metode Entry Age Normal Dan Frozen Initial Liability Dalam Perhitungan Dana Pensiun Dengan Tabel Mortalitas Indonesia IV Dan Model Lee-Carter. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Program manfaat dana pensiun diberikan sebagai timbal balik atas kontribusi yang telah diberikan pekerja selama masa kerjanya. Menyusun rencana tabungan untuk masa tua dengan bergabung dalam program pensiun merupakan langkah penting dalam mempersiapkan masa pensiun. Penelitian ini membahas program pensiun manfaat pasti dengan metode Entry Age Normal (EAN) dan Frozen Initial Liability (FIL). Salah satu factor yang dapat mempengaruhi estimasi dana pensiun adalah tingkat mortalitas. Tabel Mortalitas Indonesia IV (TMI IV) secara umum sering digunakan sebagai acuan mortalitas di Indonesia, namun karena meningkatnya angka harapan hidup (AHH), diperlukan pendekatan dinamis seperti Model Lee-Carter untuk menangani risiko umur panjang (longevity risk). Model Lee-Carter diestimasi menggunakan metode Singular alue Decomposition (SVD) dan peramalan parameter dilakukan dengan metode Random Walk with Drift untuk 55 tahun ke depan. Hasil estimasi menunjukkan tingkat kesalahan (MAPE) di bawah 20%, menandakan model cukup akurat. Berdasarkan data enam peserta, metode EAN menghasilkan iuran normal yang bervariasi sesuai usia dan gaji, sedangkan metode FIL menghasilkan iuran yang tetap dan seragam tiap peserta. Nilai kewajiban aktuaria meningkat dari tahun ke tahun pada kedua metode, namun EAN memberikan nilai kewajiban yang lebih rendah dibandingkan FIL. Dibandingkan TMI IV, penggunaan Model Lee-Carter menghasilkan nilai kewajiban dan iuran yang lebih rendah karena memperhitungkan usia hidup lebih panjang dan manfaat yang dibayarkan lebih jauh di masa depan, sehingga nilai kini menjadi lebih kecil.
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The defined benefit pension program is provided as compensation for the contributions made by employees during their years of service. Planning for retirement by joining a pension program early is an important step in preparing for old age. This study discusses defined benefit pension schemes using the Entry Age Normal (EAN) and Frozen Initial Liability (FIL) methods. One of the factors that can affect pension fund estimation is the mortality rate. The Indonesian Mortality Table IV (TMI IV) is commonly used as a mortality reference in Indonesia. However, due to increasing life expectancy, a dynamic approach such as the LeeCarter Model is required to address longevity risk. The Lee-Carter model is estimated using the Singular Value Decomposition (SVD) method, and its parameters are forecasted using the Random Walk with Drift method for the next 55 years. The estimation results show a Mean Absolute Percentage Error (MAPE) of below 20%, indicating that the model is reasonably accurate. Based on data from six participants, the EAN method produces varying normal contributions based on age and salary, while the FIL method results in fixed and uniform contributions for each participant. The actuarial liability increases year by year under both methods, but EAN produces lower liability values compared to FIL. Compared to TMI IV, the use of the Lee-Carter Model results in lower liabilities and contributions because it accounts for longer life expectancy and benefit payments that occur further in the future, thereby reducing their present value.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Entry Age Normal, Frozen Initial Liability, Mortalitas Model Lee Carter, Singular Value Docomposition, Random Walk with Drift. Entry Age Normal, Frozen Initial Liability, Mortality Lee-Carter Model, Singular Value Docomposition, Random Walk with Drift.
Subjects:	Q Science Q Science > QA Mathematics > QA76.76.A65 Application software. Enterprise application integration (Computer systems)
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Nela Aidatun Navisyah
Date Deposited:	30 Jul 2025 02:38
Last Modified:	30 Jul 2025 02:38
URI:	http://repository.its.ac.id/id/eprint/122784

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