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All Journal Panthera : Jurnal Ilmiah Pendidikan Sains dan Terapan
Auta Shintha Sarah
Program Studi Statistika, Fakultas Matematika dan Ilmu Pengetahuan Alam, Universitas Negeri Medan, Jalan William Iskandar Ps. V, Deli Serdang, Sumatera Utara 20221, Indonesia
Biochemistry, Genetics & Molecular Biology Chemistry Education Environmental Science Immunology & microbiology Mathematics Physics Social Sciences

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Analisis Sensitivitas Premi Asuransi Jiwa Berjangka terhadap Suku Bunga dengan Model CIR Berdasarkan Volatilitas & Waktu Putri Yusra Haliza; Auta Shintha Sarah; Agnes Monica Simorangkir
Panthera : Jurnal Ilmiah Pendidikan Sains dan Terapan Vol. 6 No. 2 (2026): April
Publisher : Lembaga Pendidikan, Penelitian, dan Pengabdian Kamandanu

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.36312/panthera.v6i2.1235

Abstract

This study aims to analyze the sensitivity of term life insurance premiums to interest rate changes using the Cox-Ingersoll-Ross (CIR) model by considering volatility and coverage period. The study uses interest rate data for the 2021–2025 period obtained from the Central Statistics Agency (BPS) and the 2019 Indonesian Mortality Table (TMI), with a case study of a 30-year-old insured, a sum insured of IDR 100,000,000, and tenors of 5, 10, and 20 years. The results show that the premiums of the CIR model are consistently higher than those of the fixed interest rate model by a difference of around 0.5%–1.5%. Quantitatively, an increase in the interest rate from 3% to 7% significantly reduces the premium, while an extension of the coverage period increases the premium proportionally. Meanwhile, interest rate volatility has a relatively small effect on the premium, in line with the low value of the volatility parameter (σ = 0.00549). Thus, interest rates and coverage terms are the dominant factors in determining premiums, while volatility has a limited influence in the model used.
Co-Authors Agnes Monica Simorangkir Putri Yusra Haliza