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APPLICATION OF THE BLACK SCHOLES METHOD FOR COUNTING AGRICULTURAL INSURANCE PREMIUM PRICE BASED ON RAINFALL INDEX IN KAPUAS HULU REGENCY Marola, Geby; Satyahadewi, Neva; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss2pp0819-0826

Abstract

High-intensity rainfall is one of the factors that can interfere with the state of agriculture. Agricultural insurance is an insurance that can be used to reduce risks related to agricultural losses such as rice production. Climate-based agricultural insurance is a management of climate-related risks. This study aims to determine the rainfall index and calculate the value of agricultural insurance premiums based on the climate index (rainfall) in Kapuas Hulu Regency using the Black Scholes method. In calculating the value of agricultural insurance premiums based on the rainfall index, it starts by calculating the value of the correlation coefficient between rainfall and rice production. Then the value of the rainfall index is obtained, which then the value of the index is tested for lognormality to meet the assumptions on the Black Scholes method, after which it calculates the ln return value of the index value obtained, the last step is to calculate the value of agricultural insurance premiums. Based on case studies, the results obtained are when the risk-free interest rate is 3.5% and rainfall is 54.23 mm the premium paid is Rp 2,386,824 and when the rainfall is 75.39 mm the premium paid is Rp 3,898,142. If the risk-free interest rate is 4% and the bulk is 54.23 mm, the premium paid is IDR 2,383,842, and when the rainfall is 75.39 mm the premium paid is IDR 3,893,272. When the risk-free interest rate is 5% and rainfall is 54.23 mm the premium paid is Rp 2,377,890 and if the rainfall is 75.39 mm the premium paid is Rp 3,883,551. So, the higher the rainfall, the greater the premium value payment. If the risk-free interest rate gets bigger then the premium payment will be smaller.
PREMIUMS CALCULATION OF TERMINAL ILLNESS INSURANCE Satyahadewi, Neva; Retnani, Hani Dwi; Perdana, Hendra; Tamtama, Ray; Aprizkiyandari, Siti
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss2pp0913-0918

Abstract

One related type of critical illness insurance is Long Term Care (LTC) Insurance. This study discusses the calculation of LTC insurance premiums with an annuity as a rider benefit. The benefit is included the cost of insurance care when diagnosed with a critical illness with a terminal condition or death because of any reason. The types of critical illnesses used in this study are cancer, heart disease, stroke, and diabetes mellitus. The data used are in the form of Indonesia's mortality table, and data on the prevalence of critical illness patients with terminal illness conditions. The net annual premium value in this study was obtained through the results of the multiple-state model determination of the transition probabilities of 10 states. The transition probability of an insured candidate is obtained from the prevalence of critical illness patients and the prevalence of mortality. Based on the case study, the amount of net annual premium that must be paid by an insured female aged years in good health is for the protection period and the payment period is years. The cost of insurance premiums for the male insured is greater than for the female insured. The higher the interest rate used, the smaller the net single premium that must be paid. The younger the age when registering the policy, the smaller the premium that must be paid. The longer the coverage period, the greater the premium that must be paid. This result is expected to be a recommendation for the prospective insured to adjust the suitable premium.
NET SINGLE PREMIUM ON CRITICAL ILLNESS INSURANCE WITH MULTI-STATE MODEL Taraly, Inggriani Millennia; Satyahadewi, Neva; Perdana, Hendra; Tamtama, Ray; Aprizkiyandari, Siti
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss2pp0989-0994

Abstract

The chances of someone getting a disease or suffering from a critical illness are very large, especially when they get older, the chances of getting a critical illness will be higher. A guarantee of the future is indispensable if a person suffers from a critical illness at any time and requires considerable costs to undergo treatment. Insurance is one of the right choices and is beneficial for people with critical illnesses. In this study, the calculation of Critical Illness insurance premiums was carried out to determine the value of premiums that must be paid by a person when suffering from a critical illness. The types of critical illnesses used include cancer, heart disease, stroke, kidney failure, diabetes mellitus, and hypertension. Health insurance that protects insureds suffering from critical illnesses is Long Term Care insurance with the Annuity as A Rider Benefit product. The multi-state model is used to determine the probability of a person suffering from a critical illness. The benefits obtained are in the form of death compensation, and treatment costs when the insured is diagnosed with a critical illness. The data used are data on the prevalence of critical illnesses and the percentage of deaths due to critical illnesses. In this study, we will compare the amount of premium that must be paid by the insured with different interest rates, gender, coverage period, and age. The higher the age at the beginning of following the insurance, the higher the premium. The higher the interest rate during the payer's period, the lower the premium.
APPLICATION OF EXTREME LEARNING MACHINE METHOD ON STOCK CLOSING PRICE FORECASTING PT ANEKA TAMBANG (PERSERO) TBK Apriliyanti, Rita; Satyahadewi, Neva; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss2pp1057-1068

Abstract

Artificial neural networks are modeling methods that can capture complex input and output relationships. This method is widely used in forecasting and classification. However, in its application, there are some disadvantages in terms of low learning rate resulting in computational delay. Extreme Learning Machine (ELM) was introduced to overcome these problems. This method is believed to be able to produce more accurate forecasting results with a low level of forecasting error. In Indonesia, stocks are one of the most popular investments for investors. Stock prices tend to be volatile which is influenced by the amount of market supply and demand, so forecasting analysis is needed to minimize the risks that may occur. This research applies the ELM method to forecast the closing price of PT ANTM Tbk shares from January 1, 2018 - October 31, 2022. The data used is secondary data obtained from the official website https://id.investing.com. The ELM method is applied by dividing training data for ELM modeling and testing data used in the forecasting process. The model architecture of the ELM method uses a combination of inputs obtained from the PACF plot, hidden nodes with a range of 5-50, and one output layer. The results of this study show excellent forecasting accuracy in terms of forecasting. This is measured by the MAPE value of 0.0358. The architecture formed in the ELM process is one input, 31 hidden nodes, and one output. Forecasting the closing price of PT ANTM Tbk shares with 1-31-1 architecture produces a forecasting value that shows a low decline, but is quite stable.
HIERARCHICAL CLUSTER ANALYSIS OF DISTRICTS/CITIES IN NORTH SUMATRA PROVINCE BASED ON HUMAN DEVELOPMENT INDEX INDICATORS USING PSEUDO-F Satyahadewi, Neva; Sinaga, Steven Jansen; Perdana, Hendra
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 3 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss3pp1429-1438

Abstract

Human development is needed to create prosperity and assist development in a country. In realising this, it is necessary to first look at the quality of human resources in the country, so that its use is more targeted. The measure used as a standard for the success of human development in a country is the Human Development Index (HDI). HDI figure are calculated from the aggregation of three dimensions, namely longevity and healthy living, knowledge, and decent standard of living. The longevity and healthy living dimension is represented by the Life Expectancy. Average Years of Schooling (AYS) and Expected Years of Schooling (EYS) are indicators representing the knowledge dimension. Meanwhile, the decent standard of living dimension is represented by the Expenditure per Capita indicator. The purpose of this study is to explain the characteristics of each cluster obtained from Hierarchical Cluster Analysis of districts/cities in North Sumatra Province based on HDI indicators in 2022 using Pseudo-F. The methods used are Hierarchical Cluster Analysis and Calinski-Harabasz Pseudo-F Statistic. The main concept of this method is to determine the optimum number of groups. This research uses secondary data obtained from BPS. The sample size in this study are 33 districts/cities and the number of variables are 4 variables. The results of the analysis of this study are the formation of 4 clusters with the best method is Ward. Cluster 1 consists of four members, namely Medan City, Pematang Siantar City, Binjai City, and Padang Sidempuan City, where this cluster has a very high HDI level. Meanwhile, Cluster 4 is a cluster that has a very low HDI level with four cluster members, namely Nias District, South Nias District, North Nias District, and West Nias District. Thus, it can be seen that there is a gap between regions in North Sumatra Province.
VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA Ardhitha, Tiffany; Sulistianingsih, Evy; Satyahadewi, Neva
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 3 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss3pp1739-1748

Abstract

Value at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on stock return data. Previous research discussed Gaussian copula using stocks from the telecommunications sector. In this research, using Gaussian copula on Blue Chip stocks. Blue Chip stocks have a good reputation and have a stable growth rate so they have a lower risk. Therefore, the research objective is to analyze the VaR portfolio of Blue Chip stock with Gaussian copula. This research uses the daily stock closing prices of BBNI and BBTN from November 2, 2020 to October 27, 2022. The analysis results suggested that a VaR portfolio using Gaussian copula with a confidence level of 90%, 95%, and 99%, respectively are 2.24%, 2.88%, and 4.02%. The value shows the percentage of investment risk that may be obtained in the next one-day period. This result also indicates that the higher the confidence level, the greater the VaR.
PRICING OF CALL OPTIONS USING THE QUASI MONTE CARLO METHOD Oktaviani, Indah; Sulistianingsih, Evy; Satyahadewi, Neva
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 4 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss4pp1949-1956

Abstract

A call option is a type of option that grants the option holder the right to buy an asset at a specified price within a specified period of time. Determining the option price period of time within a certain period of time is the most important part of determining an investment strategy. Various methods can be employed to determine the prices of options, such as Quasi-Monte Carlo and Monte Carlo simulations. The purpose of this research is to determine the price of European-type call options using the Quasi-Monte Carlo method. The data used is daily stock closing price data on the Apple Inc. for the period October 1, 2021, to September 30, 2022. Apple Inc. stock options in this study were chosen because it is the largest technology company in the world in 2022. The steps taken in this study are to determine the parameters obtained from historical data such as the initial risk-free interest rate (r), stock price (, volatility , maturity time (T), and strike price (K). Next is to generate Halton’s quasi-randomized sequence and simulate the stock price by substituting the parameters by substituting the parameters. Then proceed to calculate the call option payoff and estimate the call option price by averaging the call option payoff values. The results showed that the call option price of the company Apple Inc. using the Quasi-Monte Carlo with Halton’s quasi-randomized sequence on the 1000000th simulation with a standard error of 0,045 is $90,163. The call option price obtained can be used as a reference for investors in purchasing options to minimize losses from call option investments in that period.
CLASSIFICATION OF STUDENT GRADUATION STATUS USING XGBOOST ALGORITHM Dwinanda, Maria Welita; Satyahadewi, Neva; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 3 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss3pp1785-1794

Abstract

College is an optional final stage in formal education. At this time, universities are required to have good quality by utilizing all the resources they have. Therefore, efforts are needed to help the faculty and study program make policies and decisions. One of the efforts that can be made is to classify student graduation status as early as possible to increase the number of students graduating on time. Thus, a classification algorithm is needed to avoid overfitting and produce good accuracy. The purpose of this study was to classified the student graduation status of the Statistics Untan Study Program using the XGBoost algorithm. XGBoost is an ensemble algorithm obtained through the development of gradient boosting. XGBoost has several features that can be used to prevent overfitting, but it can only process numerical data. Therefore, 140 numerical data were adjusted using the dummy technique in this study. The resulting XGBoost classification model is optimal at the number of rounds is 3 and the number of folds is 5. Based on the performance evaluation of the XGBoost algorithm, an accuracy of 75,00%, precision of 88,89%, sensitivity of 76,19% and specificity of 71,43% were obtained. Thus, the performance of the XGBoost algorithm is classified as good.
APPLICATION OF BAGGING CART IN THE CLASSIFICATION OF ON-TIME GRADUATION OF STUDENTS IN THE STATISTICS STUDY PROGRAM OF TANJUNGPURA UNIVERSITY Imtiyaz, Widad; Satyahadewi, Neva; Perdana, Hendra
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 4 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss4pp2243-2252

Abstract

The timeliness of graduation is used as the success of students in pursuing education which can be seen from the time taken and measured by the predicate of graduation obtained. The characteristics of students who tend to graduate not or on time can be analyzed using classification techniques. Classification and Regression Tree (CART) is one of the classification tree methods. There is a weakness in CART, which is less stable in predicting a single classification tree. The weaknesses in CART can be improved by using Ensemble methods, one of which is Bootstrap Aggregating (Bagging) which can reduce classification errors and increase accuracy in a single classification model. This study aims to classify and determine the accuracy of Bagging CART in the case of the accuracy of student graduation classification. The number of samples used is 140 data on the graduation status of Untan Statistics Study Program students from Period I of the 2017/2018 academic year to Period II of the 2022/2023 academic year. The variables used are the timeliness of graduation which is categorized into two namely Not and On Time, Gender, Semester 1 GPA, Semester 2 GPA, Semester 3 GPA, Semester 4 GPA, Region of Origin Domicile, High School Accreditation, Entry Path, Scholarship, and first TUTEP. A good classification can be seen from the accuracy value. The CART method obtained an accuracy value of 70%. While using the CART Bagging method obtained an accuracy value of 85.71%. Based on the accuracy value obtained, the application of the CART Bagging method can increase accuracy and correct classification errors on a single CART classification tree by 15.71% by resampling 25 times.
APPLICATION OF FUZZY ANALYTICAL NETWORK PROCESS IN DETERMINING THE CHOICE OF AREAS OF INTEREST Tiara, Dinda; Sulistianingsih, Evy; Perdana, Hendra; Satyahadewi, Neva; Tamtama, Ray
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 4 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss4pp2253-2262

Abstract

The Untan Statistics Study Program offers students a choice of areas of interest to develop competencies, attitudes, and skills. This study aims to analyze the decision to determine the choice of field of interest according to lecturers and students using the Fuzzy Analytical Network Process (FANP) method. A combination of ANP methods and Fuzzy logic, FANP is used to model and analyze complex networks of several factors determining the choice of areas of interest. The step in this study begins with the determination of the criteria and sub-criteria used for tissue formation. Then a comparison was carried out in pairs using the Fuzzy scale, so that the calculation of the global weight value of each criterion and sub-criteria was obtained. The resulting weight can be used for decision making. Data in research affects the opinions of lecturers and students. The decision obtained using the FANP method in this study is in the opinion of lecturers and students that the fields of business and finance are priority alternatives with the highest weight of 44.5%. The second priority with a weight of 37.5%, namely social and industrial interests, and the environmental and disaster sector occupies the last priority with a weight of 18%.
Co-Authors . Apriansyah Aditya Handayani Afghani Jayuska Afghany Jayuska Alqaida Yusril Alvin Octavianus Halim Amriani Amir Amriani Amir Amriani Amir Amriani Amir Andani, Wirda Anisa Putri Ayuni Apriliyanti, Rita Aprizkiyandari, Siti Ardhitha, Tiffany Ari Hepi Yanti Arsyi, Fritzgerald Muhammad Ashari, Asri Mulya Asri Mulya Ashari Asty Fistia Ningrum Atikasari, Awang Aulia Puteri Amari Bambang Kurniadi Banu, Syarifah Syahr ciptadi, wahyudin Dadan Kusnandar Dadan Kusnandar Dadan Kusnandar David Jordy Dhandio Debataraja, Naomi Nessyana Della Zaria Desriani Lestari Desriani Lestari Desriani Lestari Dhandio, David Jordy Dinda Lestari Dwi Nining Indrasari Dwinanda, Maria Welita Esta Br Tarigan Evy Sulistianingsih Ewaldus Okta Ezra Amarya Aipassa Ferdina Ferdina Feriliani Maria Nani Fitriawan, Della Frans Xavier Natalius Antoni Fransisca Febrianti Sundari Fransiska Fransiska Giovani Parasta Riswanda Grikus Romi Gusti Eva Tavita Gusti Eva Tavita Hairil Al-Ham Hamzah, Erwin Rizal Hanin, Noerul Harimurti, Puspito Harnanta, Nabila Izza Hastri Sastia Wuri Helena, Shifa Hendra Perdana Hendrianto, El Herina Marlisa Huda, Nur'ainul Miftahul Huriyah, Syifa Khansa Ibnur Rusi Ikha Safitri Imro'ah, Nurfitri Imro’ah, Nurfitri Imtiyaz, Widad Indry Handayany Isra’ Sagita Jawani Jawani Karlina, Sela Kusnandar, Dadan Tonny Lucky Hartanti Lucky Hartanti Lucky Hartanti M. Deny Hafizzul Muttaqin Maga, Fahmi Giovani Margareta, Tiara Margaretha, Ledy Claudia Marlisa, Herina Marola, Geby Martha, Shantika Mega Sari Juane Sofiana Mega Sari Juane Sofiana Mega Tri Junika Millennia Taraly Misrawi Misrawi Muhammad Ahyar Muhammad Radhi Muliadi Muliadi Muslimah (F54210032) Nabil, Ilhan Nail Nanda Shalsadilla Naomi Nessyana Debataraja Naomi Nessyana Debataraja Noerul Hanin Nona Lusia Nugrahaeni, Indah Nur Asih Kurniawati Nur Asiska Nur'ainul Miftahul Huda Nurfitri Imro'ah Nurfitri Imro’ah Nurhalita Nurhalita Nurmaulia Ningsih NUR’AINUL MIFTAHUL HUDA Oktaviani, Indah Ovi Indah Afriani Paisal Paisal Pertiwi, Retno Pratama, Aditya Nugraha Preatin Preatin Putri Putri Putri, Aulia Nabila Qalbi Aliklas R Puspito Harimurti Radhi, Muhammad Rafdinal Rafdinal Rahadi Ramlan Rahmadanti, Putri Rahmanita Febrianti Rusmaningtyas Rahmawati, Fenti Nurdiana Rahmi Fadhillah Ramadhan, Nanda Ramadhania, Wahida Reni Unaeni Retnani, Hani Dwi Ria Andini Ria Fuji Astuti Rina Rina Risky Oprasianti Rita Kurnia Apindiati Rivaldo, Rendi Riza Linda Rizki Nur Rahmalita Rosi Kismonika Roslina Rosi Tamara Rovi Christova Safira, Shafa Alya Salsabilla, Arla Santika Santika Sary, Rifkah Alfiyyah Seftiani Seftiani Selvy Putri Agustianto Setyo Wir Rizki Setyo Wira Rizki Setyo Wira Rizki Setyo Wira Rizki Shantika Martha Shantika Martha Sinaga, Steven Jansen Sintia Margun Sista, Sekar Aulia Siti Aprizkiyandari Siti Aprizkiyandari, Nurul Qomariyah, Shantika Martha, Siti Hardianti Steven Jansen Sinaga Suci Angriani Sukal Minsas Sukal Minsas Syuradi syuradi Tamtama, Ray Taraly, Inggriani Millennia Tiara, Dinda Wahyu Diyan Ramadana Wahyudin Ciptadi Warsidah Warsidah Warsidah, Warsidah Wilda Ariani Wirda Andani Yopi Saputra Yudhi Yuliono, Agus Yumna Siska Fitriyani Yundari, Yundari Yuveinsiana Crismayella Zakiah, Ainun