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All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) MAJAMATH: Jurnal Matematika dan Pendidikan Matematika Jurnal Pelayanan dan Pengabdian Masyarakat (Pamas) SUBAKTYA, Unpar Community Service Journal Limits: Journal of Mathematics and Its Applications
Felivia Kusnadi
Universitas Katolik Parahyangan
Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Environmental Science Mathematics Mechanical Engineering Physics Social Sciences Transportation

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Callable Bond's Value Analysis Using Binomial Interest Rate Tree Considering Early Redemption and Default Risks Kusnadi, Felivia; Tirtasaputra, Devina Gabriella
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 7, No 2 (2023): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v7i2.12125

Abstract

Bonds are known as one of low-risk investments and worth to be considered as a part of an investor's portfolio, however there are still underlying risks that could affect its price. This paper focuses on the effect of early redemption risk and default risk to a bond’s value. Using binomial interest rate tree method and its adjusted for default risk version, this paper wants to analyse how these risks affect Indonesian bonds’ values through simulations, while showing how these bonds can be used to construct the binomial interest rate trees. In the default risk simulation, more assumptions are made because of data limitations, which causes the first period recovery fraction to soar higher than the other periods. The analysis shows that, compared to present value of standard bonds, early redemption risk tends to cause the bond's present value to drop, while on the contrary, default risk tends to cause the bond's present value to rise. The cause of higher present value of bonds with default risk is explained by the high first period recovery fraction. 
Pemodelan dan Perhitungan Premi Asuransi Keamanan Siber dengan Model Non-Markov Ivander Jeremy; Felivia Kusnadi; Benny Yong
Limits: Journal of Mathematics and Its Applications Vol. 19 No. 2 (2022): Limits: Journal of Mathematics and Its Applications Volume 19 Nomor 2 Edisi No
Publisher : Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember

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Abstract

The development of information and communication technology not only has positive impacts, but also negative impacts, especially in the cybersecurity sector. Insurance companies need to create a relatively new insurance product, namely cybersecurity insurance. However, development of cybersecurity insurance still needs further investigation because there is no standard actuarial table like mortality table in life insurance. This article will discuss the modeling of infection and recovery process of a node and various other connected nodes in a computer network of the company using non-Markov model in the case of absence of dependence between cybersecurity risks, applying the Monte Carlo simulation method to obtain experimental data with various distributions – Weibull, Lognormal, and Inverse Gaussian – for the calculation of premium charged by insurance companies to insured companies interested in purchasing cybersecurity insurance products. Standard deviation premium principle and exponential utility premium principle are used to calculate premium. We concluded that the infection and recovery time with a long-tailed distribution has a lower premium price compared to those with a short-tailed distribution.
Pemodelan Premi Asuransi Bencana Kematian pada Ternak Sapi dengan Pengaruh Fatal Shock Natasha Maria; Felivia Kusnadi; Farah Kristiani
Limits: Journal of Mathematics and Its Applications Vol. 19 No. 2 (2022): Limits: Journal of Mathematics and Its Applications Volume 19 Nomor 2 Edisi No
Publisher : Pusat Publikasi Ilmiah LPPM Institut Teknologi Sepuluh Nopember

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Abstract

Cattle farming is one of the highest demands of occupation by Indonesians as the source of income. If in a farm there are cattle with an infectious disease, thus it will cause them sick or even die, hence the infected cattle cannot provide maximum benefits. As a result, the farmer's income will decrease or incurred losses. Therefore, cattle insurance become one preventive way to divert the risk of financial losses incurred by cattle breeders. The expectation of losses is determined by the effect of fatal shock, namely the arrival time of the Brucellosis disease which follows a Poisson process. The distribution of loss amounts occurs as a mixture distribution of the binomial and degenerate distribution from a random variables of remaining cattle's future lifetime with influence of fatal shock, which is then modeled by determining the loss distribution incurred by the insurance company as a modification of the insurance policy with deductible, policy limit, and co-insurance. Insurance premium is obtained using the Pure Premium Method which uses the expectation of losses. Based on the calculation that used cattle population data in Bogor Regency, the premium rate increases as the policy limits, rate of Brucellosis disease arrival time, number of cattles insured, and cattle’s age increase. However, the premium rate will decrease if the deductible increases.
Co-Authors Aryento, Jevilia Benny Yong Budiana, Stevanny Farah Kristiani Fauzi, Rizky Reza Ferry Jaya Permana Hadiono, Vania Rosalie Ivander Jeremy Ivander Jeremy Iwan Sugiarto Iwan Sugiarto Johan, Jonathan Prasetyo Julius Dharma Lesmono Livia Owen Natasha Maria Natasha Maria Robyn Irawan Setiady, Gabrielle Aretha Tirtasaputra, Devina Gabriella Wijaya, Andry