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All Journal Jurnal Pendidikan dan Pembelajaran Khatulistiwa (JPPK) SOSIALITAS (Jurnal Ilmiah Pend. Sos-Ant) Paradigma Disease Prevention and Public Health Journal Jurnal Pendidikan Fisika Indonesia Jurnal Pendidikan Fisika Jurnal Online Mahasiswa (JOM) Bidang Ilmu Sosial dan Ilmu Politik MEDISAINS Al-Jabar : Jurnal Pendidikan Matematika LENTERA: Jurnal Ilmu Dakwah dan Komunikasi JURNAL INDRIA (Jurnal Ilmiah Pendidikan Prasekolah dan Sekolah Awal) Jurnal Komunikasi Syntax Literate: Jurnal Ilmiah Indonesia CARING (Center of Publication in Midwifery and Nursing) : Jurnal Publikasi Penelitian Kebidanan dan Keperawatan Media Ilmu Kesehatan Journal of Public Health for Tropical and Coastal Region JURNAL PENDIDIKAN TAMBUSAI Jurnal Ilmu Kedokteran dan Kesehatan Jurnal Pemberdayaan: Publikasi Hasil Pengabdian Kepada Masyarakat Jurnal Medika Malahayati JKPK (Jurnal Kimia dan Pendidikan Kimia) JFM (Jurnal Farmasi Malahayati) Jurnal Pengabdian Farmasi Malahayati (JPFM) Jurnal Review Pendidikan dan Pengajaran (JRPP) de Fermat : Jurnal Pendidikan Matematika JUXTA: Jurnal Ilmiah Mahasiswa Kedokteran Universitas Airlangga Jurnal Farmamedika (Pharmamedica Journal) Jurnal Kesehatan Madani Medika Jurnal Borneo Saintek Jurnal Riset Mahasiswa Dakwah dan Komunikasi (JRMDK) Mandalika Mathematics and Educations Journal Nakhoda: Jurnal Ilmu Pemerintahan Jurnal Peduli Masyarakat Jurnal Manajemen Bisnis Indonesian Journal of Dental Medicine PAKAR Pendidikan Budapest International Research and Critics Institute-Journal (BIRCI-Journal): Humanities and Social Sciences Journal of Computer Networks, Architecture and High Performance Computing Community Empowerment Jurnal Manajemen Bisnis dan Keuangan International Journal of Business, Economics, and Social Development Operations Research: International Conference Series International Journal of Global Operations Research Al-Mashrof: Islamic Banking and Finance Jurnal Ilmiah Wahana Pendidikan International Journal of Engagement and Empowerment (IJE2) International Journal of Quantitative Research and Modeling Journal of Innovation in Community Empowerment (JICE) Historia JURNAL KESEHATAN SAMODRA ILMU MATHEMATIC EDUCATION AND APLICATION JOURNAL (META) PROSIDING SEMINAR NASIONAL FISIKA (E-JOURNAL) International Journal of Ethno-Sciences and Education Research Borobudur Communication Review Jurnal Pendidikan Transformatif Mitra Teras: Jurnal Terapan Pengabdian Masyarakat JURNAL HANDAYANI PGSD FIP UNIMED Jurnal Pengabdian Masyarakat Bangsa Jurnal Edumatic : Jurnal Pendidikan Matematika Journal of Education Religion Humanities and Multidiciplinary Healthy Behavior Journal MAXIMA CERATA Jurnal Ilmu Politik dan Studi Sosial Terapan Journal of Community Empowerment Jurnal Penelitian Multidisiplin Bangsa Damhil: Jurnal Pengabdian kepada Masyarakat JOURNAL OF PHILANTHROPY: The Journal of Community Service Jurnal Abdimas Kedokteran dan Kesehatan Folia Medica Indonesiana
Dwi Susanti
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Religion Agriculture, Biological Sciences & Forestry Arts Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Health Professions Immunology & microbiology Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Mathematics Medicine & Pharmacology Neuroscience Nursing Physics Public Health Social Sciences Transportation Other

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Journal : Operations Research: International Conference Series

 1 
Value-at-Risk Estimation Method Based on Normal Distribution, Logistics Distribution and Historical Simulation Susanti, Dwi; Sukono, Sukono; Verrany, Maria Jatu
Operations Research: International Conference Series Vol. 1 No. 1 (2020): Operations Research International Conference Series (ORICS), March 2020
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v1i1.19

Abstract

This paper discusses the risk analysis of single stock and portfolio returns. The stock data analyzed are BNI, BRI shares and portfolio. After obtaining a stock return, value at risk (VaR) will be estimated using the normal distribution approach, logistic distribution, and historical simulation. From the VaR results, a backtest is then conducted to test the validity of the model and the backtest results for BNI and the portfolio produce a smaller QPS on the historical simulation method compared to the normal distribution and logistics distribution approaches. This shows that BNI VaR and VaR portfolios with the historical simulation method are more consistent than other methods. While the backtest results for BRI produced the smallest QPS on the normal distribution approach compared to the logistical distribution and historical simulation approaches. This shows that the VaR BRI using the normal distribution approach is more consistent than the other methods.
Value-at-Risk Estimation with Normal Distribution Approach on Stock Return of BBNI and BBRI Susanti, Dwi
Operations Research: International Conference Series Vol. 3 No. 4 (2022): Operations Research International Conference Series (ORICS), December 2022
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v3i4.78

Abstract

This paper discusses risk analysis on a single stock return. Stock data analyzed are shares of BBNI and BBRI. The method used is Value-at-Risk with a normal distribution approach. The steps are, after obtaining stock returns, then the value-at-risk (VaR) is estimated using a normal distribution approach. Then a back-test is carried out to measure the performance of risk measures. The results of the analysis show that VaR for BBNI and BBRI produces a small QPS close to zero. This shows that VaR with the normal distribution approach is more consistent and can be used to measure risk for BBNI and BBRI. 
Determination of Microinsurance Premiums in Cattle Farms Based on Protein Content Index and Milk Production Using the Black-Scholes Method Rahadi, Fabiyan; Susanti, Dwi; Halim, Nurfadhlina Binti Abdul
Operations Research: International Conference Series Vol. 4 No. 2 (2023): Operations Research International Conference Series (ORICS), June 2023
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v4i2.227

Abstract

Micro insurance is an insurance product that is intended for low-income people with features and administration that are simple, easy to obtain, economical prices and immediate settlement of compensation. Cattle business insurance is an effort to protect breeders in event of a risk of death and loss of cattle, this insurance product is a protection against worries the burden of a large premium. This study aims to calculate the premium price using the Black-Scholes method. In this study, a correlation analysis was conducted to determine the influence the protein content on cow’s milk production. Then, modelling the protein content using ARIMA-GARCH and determining the premium using the Black-Scholes method. The results showed that the protein content of milk in cow’s milk production has a positive correlation. Protein content follows the ARIMA(1,0,0)-GARCH(1) model. Based on the results of the analysis it can be concluded that the bigger protein content in milk, the higher premium that needs to paid. 
Prediction of Motor Vehicle Insurance Claims Using ARIMA-GARCH Models Susanti, Dwi; Maraya, Nisrina Salsabila; sukono, sukono; Saputra, Jumadil
Operations Research: International Conference Series Vol. 5 No. 3 (2024): Operations Research International Conference Series (ORICS), September 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i3.331

Abstract

Motorized vehicles are one of the means of transportation used by Indonesian people. As of 2021, the Central Statistics Agency (CSA) recorded the growth of motorized vehicles in Indonesia reaching 141,992,573 vehicles. Lack of control over the number of motorized vehicles results in losses for various parties, such as accidents, damage and other unwanted losses. The size of insurance claims has the potential to fluctuate, because it is influenced by several factors, such as policy changes, market conditions and economic conditions. This research aims to predict the size of motor vehicle insurance claims using the ARIMA-GARCH model which is used to predict the size of vehicle insurance claims by dealing with non-stationarity and heteroscedasticity in time series data. Based on research, the best model obtained is the ARIMA (2,1,3) - GARCH (1,0) model which produces seven significant parameters. Meanwhile, based on the MAPE value, it shows that the ARIMA (2,1,3)-GARCH (1,0) model is quite accurate. The results of this research can be taken into consideration in predicting the size of insurance claims in the future.
Forecasting Indonesian Stock Index Using ARMA-GARCH Model Susanti, Dwi; Labitta, Kirana Fara; Sukono, Sukono
Operations Research: International Conference Series Vol. 5 No. 3 (2024): Operations Research International Conference Series (ORICS), September 2024
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v5i3.328

Abstract

The stock market is an institution that provides a facility for buying and selling stocks. Covid-19 is an issue that has affected the stock markets of many countries, including Indonesia. Due to the pandemic, the condition of stocks before and during Covid-19 is certainly different. Stocks can be measured using stock indices. To predict future stock conditions, it is necessary to forecast the stock index. Therefore, this research aims to forecast the Indonesian stock index before and during Covid-19 using the ARMA-GARCH time series model. The results show that the best forecasting model for before Covid-19 data is ARMA(0,2)-GARCH(1,0), and for the data during Covid-19, it is ARMA(3,3)-GARCH(3,3). These findings can help investors make better investment decisions in the future.
Co-Authors A. Handjoko Permana Abdul Rahman Abi Suwito Abul Hasani, Rofi Adhy Firdaus Afif, Farid Agung Sosiawan Agustin, Rekha Yulia Ahmad Muhammad Fuadi, Ahmad Muhammad Aini, Fadhilah Ainul Fitri, Zaida Airohmah, Yesi Al Banna, Muhammad Hasan Alisa, Nur Alkhoroni, Panji Ambarita, Charles Fransiskus Andayani, Nyoman Etika Andayani, Sri Astutik Andi Taufiq Umar Andiyani, Intan Andriani, Cindy anggi prantika, Sindi Anjan, Aulia Annisa, Nenden Nur Aprila, Nur Amalia Aprilawati, Dwi Apriliani, Nanda Putri Ardiansyah, Galang Arifandi, Yoga Akbar Aristina, Renny Armyne, Amara Destania Astuti, Wella Atika Atika Audina, Maudy Afifah Ayu, Diana Puspita Az Zahra, Dita Aulia Badi’ah, Atik Baihaqi, Rifky Ahmad Barus, Febriana Krisdayanti Betty Subartini Bima, Ralvinzah Cahya Satriya Budhi Mustika, I Made Budiawan , Muhammad Ardi Budiawan, Muhammad Ardi Buferianto, M Razi Christantie Effendy Dari, Tri Ulan Davin, Samuel Dewanti, Anggita Annisa Wahyu Dewi Chusniasih Dewi Silaban, Eni Priska Dewi, Tiara Nilawati Dian Kristiana Diana Lestari, Diana Diandra Rizki Isrohmaniar Dias Utami, Khristin Dwi Yati Dwihantoro, Prihatin Dzaki, Fikra Fadhillah Eka Yulianti ekawati Elsyana, Vida Endah Meilana Endah Puji Astuti, Endah Puji Enjelia, Lisa Ernawati Ernawati Ervana, Lina Esmar Budi EVELYN EVELYN Fadila, Vivin Dwi Fakhira, Avisha Farha, Saniya Fatah, Rizki Amelia Febrianti Femei Purnamasari, Femei Fira, Dilli Salsa Firmansyah, Frenza Fairuz Firmanul Catur Wibowo Fitriana, Deva Rizkia Fitriani, Dinda Ismi Florentina Sustini Fredinan Yulianda Gatra, Anggel Alba Ghufron, David Maulana Gunawan Santoso Hadi Nasbey Halim, Nurfadhlina Binti Abdul Haliza, Nur Hamid, Hariaty Handayani, Afifa Dwi Haris Suhendar Hasan, Ferisa Nuriasyifa Hasyim, Diah Mukminatul Haya, Aqella Fadya Herlina Herlina Napitupulu Hermansyah Hermansyah Hermansyah Hidayah, Najwa Nur Hidayanto, Agung Ridwan Hutapea, Yohana Vita Melodi Hutasoit, Masta Ida Nursanti Ikramina, Mahreshaibati Bilqis Inah Indirayani, Triana Khairi, M. Ihsan Khairiah Khairiah Khira, Nafisa Khristina Dias Utami Khumaira, Aimena Salma Kunarfian, Krisna Artur Labitta, Kirana Fara Latifah Susilowati Liauwnardo, Albertus Alarik Linda Yanti Lintang Muliawanti Lubis, Rita Mahdalena Luhtitisari, Aurelia Rahma Niken Lukita, Salsabila Arum Lutfiyati, Afi Mahaputra, A. V. Maharani, Asthie Zaskia Manggar Sari, Arlyn Maraya, Nisrina Salsabila Marcellia, Selvi Marpaung, Maynisa Naomi Matondang, Khairani Maulana, Slamet Miftahorrozi, Miftahorrozi Muh Fauzi, Muh Muh Iqbal Muhammad Halim, Muhammad Muslichah Muslichah Nafisah, Najmah Nelly Astuti Ningsih, Jayanti Eka Sari Ningsih, Mulati Nofita, Nofita Noviantari, Ika Noviyanti, Fadhila Nugraha, Dwita Safira Nuradiyah, Fanny Nurhasanah, Gina Nurika, Marlinda Nursamira, Nursamira Octavia, Selvia Oktavia, Aisya Billa Chery Oktavia Ola, Sania Latek Pamungkas, Abram Chandra Aji Pardede, Ester Pendeko, Pendeko Perangin angin, Martianus Praditya, Miftakhul Wahyu Ragil Pramita, Anggi Pranaya, Azhraa Qinan Primadiamanti, Annisa Pudji Lestari Purnamaningsih, Nur Aini Purwono Hendradi Puspamaniar, Vania Ayu Putri Amalia Putri S. R., Aulianda Anisa Putri Utami, Desi Putri Utami, Desi Putri, Melita Regina Putri, Ria Desta R, Nurmala Rahadi, Fabiyan Rahma, Indah Eliza Rahmadhisa, Nayra Pavita Rahmatullah, Ivan RAHMAWATI, SEPTI Rahmayanti, Arini Rai Saputri, Gusti Ayu Ramadhana, Ramadhana Ramadhani, Herlina Ramadhani, Muhammad Raufa, Raufa Reni Merta Kusuma Reny Wijayanti Restinah, Anjar Retno Asih Setyoningrum Retno Mawarti, Retno Revanti, Anggun Triana Riaman Riaman, Riaman Rosdiana, Anggita Cahya RR. Ella Evrita Hestiandari Rusdiani, Nurtina Irsad S, Septi Nurhaliza Sabrina, Putri Marsha Safitri, Nita Dwi Safitri, Rahmawati Sagita, Putri Dwi Sagitawening, Hardhini Saksana, Joned C. SANI SUSANTI Saputra, Jumadil Saputri, Gusti Ayu Rai Satiti, Ainur Rafiqah Sayekti, Tyaswara Endah Setyabudi, Rendy Siagian, Irma Siburian, Claranita Silferia, Silferia Silvia Ari Agustina Sinaga, Primawati Siti Fatimah Soetadi Waskito SRI SETIYARINI, SRI Sri Untari Suatin, Ricka Milla Sugiono, Muhamad Suhandoyo, Tri Sukono Sukono Sukono, Sokono Sumiati Sumiati Sunarsih, Eka Suranto Suranto Surantoro Surantoro Suratno Surtini, Surtini Susanti, Yuli Eri Susanto Susanto Suwarno Suwarno Swannjo, Julian Benedict Syahara, Tjut Afrieda Syahla, Raynita Syarifah, Indi Mazaya Targanski, Constantia Lidwina Teguh Budi Prayitno Tunggadewi, Amelia Amanda Tutik Tutik Ulfa, Ade Maria Upik Rahma Fitri, Upik Rahma Utami, Kristina Dias Utomo, Aulia Putri Verrany, Maria Jatu Vina Serevina Wachyuni, Mhella Nia Wahyuni, Anis Wan Asrida Warih Angesti P, Warih Angesti Widia Rahayu, Setia Widyawati, Eka Windayani, Wulan Tri Wiryono, Karfadimas Bima Putra Yanita Trisetiyaningsih, Yanita Yati, Dwi Yati, Dwi Yudhy Dharmawan Yulistianingsih, Desti Yundari, Yundari Yunita, Arum Yusticia, Ica Zahrani, Andieta Zulfikar Bagus Pambuko