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All Journal Jurnal Sains Dasar International Journal of Supply Chain Management International Journal of Business, Economics, and Social Development International Journal of Research in Community Services International Journal of Quantitative Research and Modeling International Journal of Ethno-Sciences and Education Research Jurnal Matematika Integratif
Dwi Susanti
Dept. MatematikaFMIPA Universitas Padjadjaran Bandung, Indonesia
Religion Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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Penentuan Kerugian Tahunan Dengan Pemodelan Kebencanaan Alam dan Premi Asuransi Pada Kerusakan Rumah Akibat Banjir Renata Philipa Plate; Firdaniza Firdaniza; Dwi Susanti Susanti
Jurnal Matematika Integratif Vol 15, No 2: Oktober, 2019
Publisher : Department of Matematics, Universitas Padjadjaran

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (296.707 KB) | DOI: 10.24198/jmi.v15.n2.22923.121

Abstract

Kerusakan bangunan rumah akibat banjir di kawasan sekitar daerah aliran sungai dapat menimbulkan sejumlah kerugian tahunan. Dibutuhkan jaminan asuransi untuk proteksi finansial bagi kerugian tahunan yang terjadi. Ketika suatu rumah telah diasuransikan, maka perusahaan asuransi wajib menentukan premi asuransi untuk produk asuransi tersebut. Pada paper ini dihitung kerugian tahunan dari kerusakan rumah dengan pemodelan kebencanaan alam, dan premi asuransi kerusakan rumah dengan prinsip ekivalen. Dengan menggunakan data debit air sungai Curug Agung, Subang, mulai Januari 2009 hingga Desember 2013, asumsi harga rumah Rp 150 juta, tingkat bunga 5% dan periode asuransi 10 tahun diperoleh kerugian tahunan Rp Rp15.154.000.00 dan premi asuransi Rp7.284.000.00.             Kata kunci: Kerusakan rumah, kerugian tahunan, premi asuransi, pemodelan kebencanaan alam, prinsip ekivalen.
Analisis Perbandingan Hasil Peramalan Harga Saham Menggunakan Model Autoregresive Integrated Moving Average dan Long Short Term Memory Luki Setiawan; Dwi Susanti; Riaman Riaman
Jurnal Matematika Integratif Vol 19, No 2: Oktober 2023
Publisher : Department of Matematics, Universitas Padjadjaran

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24198/jmi.v19.n2.42164.223-234

Abstract

Saham menjadi salah satu instrumen investasi yang populer di tengah masyarakat modern. Saham berpotensi memberikan keuntungan yang besar namun juga memiliki risiko yang besar, oleh sebab itu dibutuhkan peramalan harga saham untuk menghadapi risiko dalam berinvestasi saham. Data harga saham termasuk ke dalam data deret waktu sehingga diperlukan analisis deret waktu dalam meramalkannya. Terdapat dua model populer dalam meramalkan data deret waktu yaitu Model Autoregressive Integrated Moving Average (ARIMA) dan Model Long Short Term Memory (LSTM). Tujuan dalam penelitian ini adalah untuk menemukan model ARIMA terbaik dan kombinasi hyperparameter model LSTM terbaik, serta membandingkan akurasi hasil peramalan kedua model tersebut untuk memperoleh model yang terbaik dalam meramalkan harga saham terpilih. Metode Maximum Likelihood Estimation digunakan dalam mengestimasi parameter model ARIMA dan Metode Trial and Error digunakan dalam menentukan kombinasi hyperparameter model LSTM. Data yang digunakan adalah data harga penutupan saham BBCA, BBTN, dan BMRI selama 1 tahun (1 April 2021 – 31 Maret 2022). Hasil penelitian menunjukkan bahwa model LSTM merupakan model terbaik dalam meramalkan data harga saham BBCA, sementara itu model ARIMA (1,1,0) merupakan model terbaik dalam meramalkan data harga saham BBTN dan BMRI. Seluruh hasil peramalan dengan menggunakan model terbaik untuk masing-masing saham, masuk ke dalam kriteria peramalan yang sangat akurat karena memiliki nilai MAPE <10%.
Company Stock Performance Analysis on IDX ESG Leaders Index Using the ARIMA-GARCH Model Hazelino Rafi Pradaswara; Dwi Susanti; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol. 3 No. 3 (2022): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v3i3.347

Abstract

Stocks are one of the most popular forms of investment. In investing stocks, it is necessary to know the movement of stock prices and the investment risks that may occur. The purpose of this study is to predict the level of risk, see the characteristics of stock returns, and whether the ESG Risk Rating makes the company's stock performance better. The models used to predict stock returns are Auto Regressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticty (GARCH), and Value at Risk (VaR) is used to predict risk. Based on the research, the potential loss for Bank BCA is IDR29.800.000,00 and Bank Mandiri is IDR33.600.000,00 with the assumption that an investor invests as much as IDR1.000.000.000,00. In addition, Bank BCA has a lower ESG Risk Rating than Bank Mandiri, but has a better performance.
Investment Portfolio Optimization With Mean-Variance Investment Portfolio Optimization Model Without Risk Free Assets Wilda Nur Rahmalia; Dwi Susanti; Rizki Apriva Hidayana
International Journal of Quantitative Research and Modeling Vol. 3 No. 4 (2022): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v3i4.360

Abstract

Forming a portfolio is a strategy that is often carried out by investors in risky investment conditions. Five non-risk free stocks were selected, namely PTBA, IPCM, ANTM, BUMI, and ADMF. The purpose of forming this portfolio is to determine the composition of the weight (proportion) of the allocation of funds in each of these shares in forming the optimum portfolio. The method used is the Mean-Variance investment portfolio optimization model without risk-free assets using the Markowitz approach. Based on the results obtained by the optimum portfolio of the Mean-Variance model without risk-free assets, the average return is 0.00105 and the variance is 0.000067 with a portfolio ratio value of 14.65256. The proportion of fund allocation to PTBA shares = 0.28872; IPCM=0.02484; ANTM=0.00016; EARTH=0.13501; and ADMF=0.55126. It is hoped that the formation of this portfolio optimization model will be useful as an alternative for investors in optimizing the investment portfolio to make it more profitable in the future. 
Co-Authors Agus Supriatna Candra Budi Wijaya Elis Hertini Eman Lesmana Firdaniza Firdaniza Hazelino Rafi Pradaswara Herlina Napitupulu Jumadil Saputra Jumadil Saputra Luki Setiawan M. Ihsan Khairi Mochamad Suyudi Nurfadhlina Abdul Halim Radya Pratiwi Serila Renata Philipa Plate Riaman Riaman Rizki Apriva Hidayana Stanley Pandu Dewanto Sudradjat Supian Sukono Sukono Thariq Ahmad Rasyid Tisa Annisa Wilda Nur Rahmalia Wiliya Wiliya Yuyun Hidayat