Garuda - Garba Rujukan Digital

Retensi Optimal Untuk Reasuransi Stop-Loss Dengan Pendekatan Buhlmann-Straub Sibarani, Triana Sucova; Soleh, Achmad Zanbar; Noviyanti, Lienda
Prosiding Seminar Nasional MIPA 2015: PROSIDING SEMINAR NASIONAL MIPA UNDIKSHA 2015
Publisher : Prosiding Seminar Nasional MIPA

Show Abstract | Download Original | Original Source | Check in Google Scholar

BPJS Kesehatan merupakan badan usaha milik negara yang ditugaskan untuk menyelenggarakan jaminan pemeliharaan kesehatan bagi seluruh rakyat Indonesia. Layanan kesehatan yang diberikan oleh BPJS Kesehatan merupakan layanan asuransi sosial sehingga memungkinkan seorang peserta dalam setahun mendapatkan layanan kesehatan dengan besar klaim melebihi total iuran yang dibayarkannya. Keadaan ini berpotensi menimbulkan kebangkrutan bagi BPJS Kesehatan akibat total klaim yang melebihi iuran peserta. BPJS Kesehatan dapat tertolong dengan adanya reasuransi. Dengan adanya reasuransi BPJS dapat membagi risiko dengan perusahaan reasuransi. Dimana klaim yang ditanggung oleh BPJS Kesehatan adalah sebesar retensi dan sisanya dapat ditanggung oleh perusahaan reasuransi. Menggunakan model risiko kolektif, estimasi total klaim menggunakan pendekatan kredibilitas Buhlmann-Straub adalah sebesar Rp.220.521.050.432. Kemudian retensi ditentukan dengan menggunakan VaR yang akan meminimumkan total risiko perusahaan akibat reasuransi Stop-Loss. Untuk alpha=1% dan rho=1%, maka retensi BPJS kesehatan adalah Rp.136.630.255.868. Semakin besar loading reasuransi maka akan semakin besar pula retensi yang ditahan.Kata kunci: BPJS Kesehatan, Kredibilitas Buhlmann-Straub, Retensi Optimal, VaR, Reasuransi Stop-Loss ABSTRACTBPJS Kesehatan is a state-owned enterprise that assigned to administer health care benefits for all Indonesian people. Health services provided by BPJS Kesehatan is a service of social insurance so allows a participant in one year to get health services with the claims exceed the total fees paid. This situation could be lead to bankruptcy for BPJS because of total claims exceed the participants' contributions. BPJS kesehatan can be helped by the existence of reinsurance. With the reinsurance BPJS can share the risk with reinsurers. Where the claim is borne by BPJS is retention and the residual can be covered by reinsurance companies. Estimation of total claims with approach Buhlmann-Straub credibility is Rp.220.521.050.432. Then retention is determined by using the VaR will minimize the total risk due to Stop- BPJS Kesehatan is Rp.136.630.255.868. The greater the loading of reinsurance, the greater the retention hold.Keywords: BPJS Kesehatan, Buhlmann-Strau Credibility, Optimal Retention, VaR, Stop-Loss Reinsurance

Utilization Copula in Determination of Shallot Insurance Premium Based on Regional Harvest Results Hasna Afifah Rusyda; Achmad Zabar Soleh; Lienda Noviyanti; Anna Chadidjah; Fajar Indrayatna
EKSAKTA: Journal of Sciences and Data Analysis VOLUME 1, ISSUE 2, August 2020
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20885/EKSAKTA.vol1.iss2.art11

Abstract: Shallot is one of the highest-yielding horticultural crops in Indonesia and has the tendency to increase the profits of farmers in Indonesia. But until now in Indonesia there is no insurance for horticultural crops other than corn, whereas the shallot farmers face various sources of risk such as weather changes, pest attacks, or other technical factors that ultimately lead to uncertainty of agricultural yields (revenue risk). To overcome this loss, insurance companies can make products based on shallot yields and shallot market prices. Therefore it is essential to grasp the distribution of risk variables (shallot yields and shallot market prices) that interact simultaneously, not separate from one another. Omitting dependencies among risk variables can cause biased risk estimation. Copula can model the non-linear dependencies and can identify the structure of the dependencies between variables. The suitable copula for modeling yield and price risk of shallot is simulated to compute the premium. Result show that clayton copula is suitable for dependence modelling between risk variables.

APLIKASI MODEL STOKASTIK DALAM PENENTUAN SALDO KAS HARIAN OPTIMAL BANK DENGAN PENDEKATAN DISTRIBUSI GENERALIZED LOGISTIC (Study Kasus Salah Satu Kantor Cabang di PT. Bank XYZ, Tbk) Rizki Maulana; Lienda Noviyanti; Achmad Zanbar Soleh
Jurnal Ekonomi & Kebijakan Publik Vol 4, No 1 (2013)
Publisher : Pusat Penelitian, Badan Keahlian DPR RI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22212/jekp.v4i1.65

Rata-rata saldo kas harian yang optimal diperlukan untuk mengatasi trade-off antara profitabilitas dan risiko likuiditas dari suatu aktivitas perbankan. Nilai tersebut diperoleh dengan meminimumkan model biaya yang diperoleh dari penjumlahan biaya transfer dan biaya kas menganggur berdasarkan kendala-kendala yang ada. Pendekatan random walk digunakan untuk mendapatkan rata-rata banyaknya transfer yang terjadi dan rata-rata saldo kas harian dirumuskan dengan pendekatan distribusi generalized logistic. Optimasi dari model biaya yang diperoleh dengan pendekatan distribusi generalized logistic ini memberikan nilai saldo kas harian optimal sebesar Rp4.105.000.163,94

Retensi Optimal Untuk Reasuransi Stop-Loss Dengan Pendekatan Buhlmann-Straub Triana Sucova Sibarani; Achmad Zanbar Soleh; Lienda Noviyanti
Prosiding Seminar Nasional MIPA 2015: PROSIDING SEMINAR NASIONAL MIPA UNDIKSHA 2015
Publisher : Prosiding Seminar Nasional MIPA

Show Abstract | Download Original | Original Source | Check in Google Scholar

BPJS Kesehatan merupakan badan usaha milik negara yang ditugaskan untuk menyelenggarakan jaminan pemeliharaan kesehatan bagi seluruh rakyat Indonesia. Layanan kesehatan yang diberikan oleh BPJS Kesehatan merupakan layanan asuransi sosial sehingga memungkinkan seorang peserta dalam setahun mendapatkan layanan kesehatan dengan besar klaim melebihi total iuran yang dibayarkannya. Keadaan ini berpotensi menimbulkan kebangkrutan bagi BPJS Kesehatan akibat total klaim yang melebihi iuran peserta. BPJS Kesehatan dapat tertolong dengan adanya reasuransi. Dengan adanya reasuransi BPJS dapat membagi risiko dengan perusahaan reasuransi. Dimana klaim yang ditanggung oleh BPJS Kesehatan adalah sebesar retensi dan sisanya dapat ditanggung oleh perusahaan reasuransi. Menggunakan model risiko kolektif, estimasi total klaim menggunakan pendekatan kredibilitas Buhlmann-Straub adalah sebesar Rp.220.521.050.432. Kemudian retensi ditentukan dengan menggunakan VaR yang akan meminimumkan total risiko perusahaan akibat reasuransi Stop-Loss. Untuk alpha=1% dan rho=1%, maka retensi BPJS kesehatan adalah Rp.136.630.255.868. Semakin besar loading reasuransi maka akan semakin besar pula retensi yang ditahan.Kata kunci: BPJS Kesehatan, Kredibilitas Buhlmann-Straub, Retensi Optimal, VaR, Reasuransi Stop-Loss ABSTRACTBPJS Kesehatan is a state-owned enterprise that assigned to administer health care benefits for all Indonesian people. Health services provided by BPJS Kesehatan is a service of social insurance so allows a participant in one year to get health services with the claims exceed the total fees paid. This situation could be lead to bankruptcy for BPJS because of total claims exceed the participants' contributions. BPJS kesehatan can be helped by the existence of reinsurance. With the reinsurance BPJS can share the risk with reinsurers. Where the claim is borne by BPJS is retention and the residual can be covered by reinsurance companies. Estimation of total claims with approach Buhlmann-Straub credibility is Rp.220.521.050.432. Then retention is determined by using the VaR will minimize the total risk due to Stop- BPJS Kesehatan is Rp.136.630.255.868. The greater the loading of reinsurance, the greater the retention hold.Keywords: BPJS Kesehatan, Buhlmann-Strau Credibility, Optimal Retention, VaR, Stop-Loss Reinsurance

MODELING STOCHASTIC INTEREST RATE IN LIFE CONTINGENCIES Lienda Noviyanti; Muhammad Syamsuddin
STATISTIKA: Forum Teori dan Aplikasi Statistika Vol 4, No 2 (2004)
Publisher : Program Studi Statistika Unisba

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/jstat.v4i2.887

In this paper we model stochastic interest rate in life contingencies through a simulation. In addition, some risk measuresare employed to measure the risk of interest rate fluctuation which based on loss function.

Optimal Retention for a Quota-Share Reinsurance Lienda Noviyanti; Achmad Zanbar Soleh; Anna Chadidjah; Hasna Afifah Rusyda
Jurnal Teknik Industri Vol. 20 No. 1 (2018): June 2018
Publisher : Institute of Research and Community Outreach - Petra Christian University

The Indonesian Financial Services Authority (OJK) has instructed all insurance providers in Indonesia to apply a mandatory tariff for property insurance. The tariff has to be uniformly applied and the rule of set the maximum and minimum premium rates for protection against losses. Furthermore, the OJK issued the new rule regarding self-retention and domestic reinsurance. Insurance companies are obliged to have and implement self-retention for each risk in accordance with the self-retention limits. Fluctuations of total premium income and claims may lead the insurance company cannot fulfil the obligation to the insured, thus the company needs to conduct reinsurance. Reinsurance helps protect insurers against unforeseen or extraordinary losses by allowing them to spread their risks. Because reinsurer chargers premium to the insurance company, a properly calculated optimal retention would be nearly as high as the insurer financial ability. This paper is aimed at determining optimal retentions indicated by the risk measure Value at Risk (VaR), Expected Shortfall (ES) and Minimum Variance (MV). Here we use the expectation premium principle which minimizes individual risks based on their quota share reinsurance. Regarding to the data in an insurance property, we use a bivariate lognormal distribution to obtain VaR, ES and MV, and a bivariate exponential distribution to obtain MV. The bivariate distributions are required to derive the conditional probability of the amount of claim occurs given the benefit has occurred.

PERSEPSI MASYARAKAT DESA SAYANG RW 03 KECAMATAN JATINANGOR KABUPATEN SUMEDANG TERHADAP PENTINGNYA PROTEKSI KENDARAAN BERMOTOR Lienda Noviyanti
Dharmakarya : Jurnal Aplikasi Ipteks Untuk Masyarakat Vol 8, No 3 (2019): September 2019
Publisher : Universitas Padjadjaran

As the times and technology became more sophisticated, human needs and mobility also increased. One such technology is vehicle. It cannot be denied that motorized vehicles and cars have now become the most important parts of everyday life. Vehicle protection is very important to keep vehicles safe, especially in areas prone to theft. Protection of the vehicle itself is divided into two ways, namely by personal and insurance methods. The fact is that vehicle protection carried out by Desa Sayang residents is still very minimal, which is caused by a lack of knowledge and understanding of citizens about the importance of vehicle protection. Seen from only a few residents who have insurance services to protect their vehicles. Measuring the perceptions of residents of RW 03 Desa Sayang, Jatinangor Subdistrict, Sumedang Regency is divided into 2 things, namely knowledge (cognition) and behavior (konasi). Of the 97 informants interviewed, it was found that people's knowledge of insurance was not good. While their knowledge of vehicle protection in general is quite good. In addition, vehicle ownership also affects individual knowledge of insurance and vehicle protection. Unfortunately, protection of vehicles in the form of insurance is rarely done by residents because most are hampered in terms of costs and feel they do not need it. Therefore, a perception survey and vehicle protection socialization were made in Sayang Village, Jatinangor Sub-District, Sumedang Regency so that residents would be more aware of maintaining their vehicles.

Perbandingan Estimasi Cadangan Klaim dengan Metode Classical Chain Ladder dan Bornhuetter-Double Chain Ladder Krisdiantha Krisdiantha; M. Jibril Khalifatullah; Tione Daffaxa Dumamika; Lienda Noviyanti
Jurnal Matematika, Statistika dan Komputasi Vol. 20 No. 1 (2023): SEPTEMBER, 2023
Publisher : Department of Mathematics, Hasanuddin University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.20956/j.v20i1.27673

In the world of insurance, insurance companies need to back up claims to ensure that the company can cover expenses resulting from filing claims from policyholders. Claim reserves represent the estimated value of claim payments in the future, where there are differences in the estimated and actual value of claim payments. Errors in predicting claim reserves will result in inaccuracies and disrupt the insurance company's financial stability. There are several ways to estimate claim reserves, one of the most common methods is using a Chain Ladder. However, the Chain Ladder method is very susceptible to outliers, so another method is needed to estimate claims reserves that are more accurate. This study discusses the comparison between the Chain Ladder method and one of the development methods, namely Bornhuetter-Double Chain Ladder in estimating claim reserves. The Bornhuetter-Double Chain Ladder method uses data on claims that have occurred as a whole, the amount of claims that have been paid, and the number of claims that have occurred. Based on the research results, it can be concluded that the Bornhuetter-Double Chain Ladder method is capable of producing more stable and accurate claim reserves compared to the Chain Ladder method.

RETURN PORTOFOLIO OPTIMAL DENGAN PENDEKATAN SINGLE INDEX MODEL, TREYNOR BLACK MODEL, DAN BLACK-LITTERMAN MODEL Adri Arisena; Lienda Noviyanti; Achmad Zanbar Soleh; Fajar Indrayatna
VARIANCE: Journal of Statistics and Its Applications Vol 5 No 2 (2023): VARIANCE: Journal of Statistics and Its Applications
Publisher : Statistics Study Programme, Department of Mathematics, Faculty of Mathematics and Natural Sciences, University of Pattimura

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/variancevol5iss2page117-130

Membentuk portofolio optimal adalah metode yang dapat membantu para investor meminimalkan risiko dan mengoptimalkan keuntungan. Beberapa model untuk portofolio optimal termasuk Single Index Model (SIM), Treynor Black Model (TBM), dan Black-Litterman Model (BLM). SIM didasarkan pada pengamatan bahwa harga sekuritas berfluktuasi sejalan dengan indeks pasar. Pada TBM, seorang investor dapat melihat bahwa model ini kurang fokus pada nilai beta tetapi lebih berfokus pada risiko tidak sistematis. BLM menggabungkan elemen data historis dan pandangan investor untuk membentuk prediksi baru tentang portofolio sebagai dasar pemodelan. Prediksi pandangan dalam penelitian ini menggunakan pendekatan time series ARIMA dan GARCH. Tujuan dari penelitian ini adalah untuk membentuk tingkat pengembalian portofolio optimal dengan menggunakan SIM, TBM, dan BLM berdasarkan pandangan tunggal investor serta kombinasi pandangan beberapa investor dengan pendekatan ARIMA dan GARCH.

PREMI ASURANSI PENDIDIKAN DENGAN MEMPERHITUNGKAN PENGARUH WAIVER OF PREMIUM DAN RETURN OF CASH VALUE Sandi Nurhibatulloh Suherman; ACHMAD ZANBAR SOLEH; LIENDA NOVIYANTI; FAJAR INDRAYATNA
Jurnal Matematika UNAND Vol 12, No 3 (2023)
Publisher : Departemen Matematika dan Sains Data FMIPA Universitas Andalas Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25077/jmua.12.3.244-257.2023

Asuransi pendidikan adalah kombinasi antara tabungan pendidikan dan asuransi jiwa berjangka. Asuransi Pendidikan melibatkan dua orang yaitu orang tua (Ayah/Ibu) sebagai tertanggung dan anak sebagai penerima beasiswa. Asuransi Pendidikan memberikan manfaat berupa (1) dana tabungan pendidikan yang akan diberikan dalam 4 periode waktu yaitu di akhir tahun polis saat anak berusia 5 tahun, 11 tahun, 14 tahun, dan 17 tahun, (2) manfaat proteksi jiwa apabila orang tua meninggal dunia dalam masa asuransi. Pada penelitian ini akan memperhitungkan pengaruh manfaat lain yaitu (3) waiver of premium yang merupakan polis bebas premi apabila orang tua meninggal dunia, namun manfaat tetap dibayarkan sesuai kesepakatan awal, dan (4) return of cash value apabila anak yang dibeasiswakan meninggal dunia. Penelitian ini menentukan besaran premi kotor tahunan didasarkan pada konsep fully-discrete dengan anuitas joint-life. Dengan penambahan manfaat waiver of premium dan return of cash value akan meningkatkan premi kotor menjadi lebih mahal, akan tetapi manfaat yang diberikan sesuai dengan kebutuhan pemegang polis.

Title

Found 12 Documents
Search

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Title Search

Found 12 Documents Search

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Abstract

Title

Found 12 Documents
Search