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All Journal M A T H L I N E : Jurnal Matematika dan Pendidikan Matematika Bharasumba Jurnal Multidispliner
Arsyelina Husni Johan
Universitas Terbuka
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Endowment Life Insurance Calculation Modeling with DARA Utility Function and Stochastic Interest Jason Filbert Leo; Krishna Prafidya Romantica; Arsyelina Husni Johan
Mathline : Jurnal Matematika dan Pendidikan Matematika Vol. 11 No. 1 (2026): Mathline : Jurnal Matematika dan Pendidikan Matematika
Publisher : Universitas Wiralodra

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31943/mathline.v11i1.993

Abstract

In this research, a 10-year endowment life insurance’s premium will be calculated with a DARA function according to principle of utility equivalence. The calculation results will be performed using a Vasicek interest-based model, among male and female policyholders within the age range of 20-80 years old, and over varying benefit levels. Indonesian Mortality Table IV 2019 is used as reference for mortality data. Stochastic interest is modeled using the Vasicek Model derived through Ordinary Least Square Method (OLS) Method from BI-Rate in the volatile September 2022 - August 2024 period with a monthly step time, which yields the following parameters: , , , resulting in a 95% confidence interval  with standard error . This  indicated high uncertainty in the interest modelling. The results showed that premium rate is heavily affected by this volatility in the interest rates. Premium value is higher for male than female policyholders and it increases faster at higher entry age due to an increase of the mortality rate. The relation between the DARA coefficient and premium value is non-linear despite a slight increase in premium when a larger coefficient is chosen. An increase of benefit rate is followed by a nearly proportional increase of the premium rate. Further research on this topic could analyze the impact of policy horizon and wealth on the premium rate or compare the results with another stochastic model (e.g. CIR model).
IMPLEMENTASI FIREFLY ALGORITMA PADA OPTIMISASI MULTIOBJEKTIF PORTOFOLIO SAHAM IDX–MES BUMN 17 DENGAN KENDALA CARDINALITY Rosa Andriani; Arsyelina Husni Johan
Jurnal Multidisipliner Bharasumba Vol 5 No 01 (2026): BHARASUMBA: Jurnal Multidisipliner
Publisher : Pusat Studi Ekonomi, Publikasi Ilmiah dan Pengembangan SDM

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62668/bharasumba.v5i01.2199

Abstract

The Firefly Algorithm (FA) is used as an optimization tool to construct a stock portfolio based on the IDX–MES BUMN 17 index by balancing risk and return under a cardinality constraint on the number of investable stocks. The data consist of daily closing prices for 14 sharia-compliant state-owned enterprise stocks included in the IDX–MES BUMN 17 index over the period September 2019–September 2024, downloaded from Yahoo Finance and transformed into daily log-returns. The expected returns and covariance matrix are embedded into a weighted objective function that combines the reciprocal of portfolio return and portfolio variance, with a weight placing stronger emphasis on risk. The results show that FA attains stable solutions on a non-convex optimization landscape and produces an optimal portfolio that is highly concentrated in a single dominant stock, while other stocks contribute only marginally. These findings suggest that FA is effective as a technical engine for portfolio optimization, but additional constraints such as an upper bound on individual stock weights and a minimum number of stocks in the portfolio are still required to obtain a more practically diversified sharia portfolio.
Co-Authors Jason Filbert Leo Krishna Prafidya Romantica Rosa Andriani