PENERAPAN HUKUM MORTALITA MAKEHAM UNTUK PERHITUNGAN NILAI TUNAI MANFAAT DENGAN TINGKAT SUKU BUNGA VASICEK DAN CIR

Authors

  • Herliani Evinda
  • Narwen Narwen
  • Dodi Devianto

DOI:

https://doi.org/10.25077/jmu.7.3.74-82.2018

Abstract

Perhitungan nilai tunai manfaat memerlukan tingkat suku bunga. Tingkat suku bunga yang biasa digunakan adalah tingkat suku bunga konstan. Namun, pembayaran nilai tunai manfaat adalah pembayaran jangka panjang dengan perubahan tingkat suku bunga yang disebabkan oleh berbagai faktor seperti inflasi. Untuk itu digunakan tingkat suku bunga stokastik yang mengikuti model Vasicek dan Cox-Ingersol-Ross (CIR). Perhitungan nilai tunai manfaat juga memerlukan tabel mortalita dan pendekatan hukum mortalita. Pendekatan dengan hukum mortalita digunakan karena hasil dari pendekatan tersebut berbentuk kontinu, sehingga praktis dalam penggunaannya. Salah satu hukum mortalita yang terkenal adalah hukum mortalita Makeham. Selain itu, nilai parameter pada tingkat suku bunga Vasicek dan CIR serta usia nasabah saat penandatanganan kontrak asuransi juga mempengaruhi hasil perhitungan nilai tunai manfaat.

Kata Kunci: nilai tunai manfaat, Vasicek, CIR, Makeham

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Published

19-02-2019

Issue

Vol. 7 No. 3 (2018)

Section

Articles

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