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Herlina Napitupulu
Departemen Matematika, Fakultas Matematika Dan Ilmu Pengetahuan Alam, Universitas Padjadjaran
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Journal : Media Statistika

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DETERMINATION OF INSURANCE PREMIUMS FOR CHILI PLANTATION USING THE BLACK-SCHOLES MODEL WITH CLAYTON COPULA APPROACH Sutisna, Sarah; Sukono, Sukono; Napitupulu, Herlina
MEDIA STATISTIKA Vol 18, No 1 (2025): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.18.1.13-24

Abstract

Agriculture is a vulnerable sector to the risk of crop damage due to climate change and other environmental factors. One source of risk in agriculture is rainfall, which significantly affects productivity and farmers’ income. Traditional insurance premium calculations often rely on assumptions of normal distribution and linear dependency, which may not accurately capture the complex and non-linear relationships between climatic and agricultural variables. This research presents a novel contribution to agricultural risk management by applying the Clayton Copula to model the dependency structure between rainfall and chili crop production output in the context of crop insurance pricing. The estimation of Copula parameters was conducted using Maximum Likelihood Estimation, yielding a parameter θ value of -0.1252, which indicates the dependency structure between the variables. The predictive accuracy of the Copula Clayton model was evaluated using the Mean Absolute Error, with a result of 0.01291, demonstrating strong relevance in describing the dependency between precipitation and yield. Furthermore, the research integrates the Copula-based rainfall modeling with the Black-Scholes model for determining insurance premiums. The findings reveal that premium prices depend on rainfall index values, where higher rainfall percentages correspond to higher premium costs.
Co-Authors Adi Suripto Adi Suripto, Adi Agus Santoso Aisyah Nurul Aini Aisyah, Ranti Rivani Akmal, Muhammad Novrizal Albert Raja Harungguan Alit Kartiwa Ariesandy, Sena Asep K. Supriatna Asep K. Supriatna Asep Kuswandi Supriatna Aulia Wanda Puspitasari Bagas Ilham Rabbani Balqis, Viona Prisyella Betty Subartini Darmawan, Muhammad Rizky Diah Chaerani Dwi Purnomo Dwi Susanti Dwi Susanti Dwi Susanti Edi Kurniadi Elis Hertini Ema Carnia Eman Lesmana Erwin Harahap Ewen Hokijuliandy Fasa, Rayyan Al Muddatstsir Fathimah Syifa Nurkasyifah Fauziyah, Wida Nurul Febrianty, Popy Firdaniza Firdaniza Firdaus, Hamidah 'Alina Firosi, Valeska Isma Ghazali, Puspa Liza Hadiana, Asep Id Helma Syifa Izzadiana Hidayana, Rizki Apriva Ida Widianingsih Ira Sumiati Ismail Bin Mohd Jeane R. M. D. P Chantique Julita Nahar Melina Melina Michael Lim Michelle Selina Buntara Muhammad Arief Budiman Muhammad Deni Johansyah Muhammad Helambang Prakasa Yudha Muhammad Ribhan Hadiyan Nabilla, Ulya Norizan Mohamed Novitasari, Ela Nursanti Anggriani Nurul Gusriani Popy Febrianty Rahmadini, Nurhaliza Raynita Syahla Rayyan Al Muddatstsir Fasa Riaman Riaman Ridwan Pandiya Saprilian Hidayat Saputra, Jumadil Satyaputra, Ida Bagus Wira Krishna Siti Aizal Yasni Ellena Sudrajat Supian Suhaimi, Nurnisaa binti Abdullah Sukono Sukono Supian, Sudradjat Supian, Sudrajat Sutisna, Sarah Syahla, Raynita Thania Nur Salsabila Valentina Adimurti Kusumaningtyas Valerie ​Valerie Valerie ​Valerie Viona Prisyella Balqis Wida Nurul Fauziyah Yosza Dasril Yudha, Muhammad Helambang Prakasa Yulison Herry Chrisnanto Yuyun Hidayat