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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi JTAM (Jurnal Teori dan Aplikasi Matematika) International Journal of Supply Chain Management International Journal of Business, Economics, and Social Development Operations Research: International Conference Series International Journal of Global Operations Research International Journal of Quantitative Research and Modeling International Journal of Ethno-Sciences and Education Research
Riaman Riaman, Riaman
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Religion Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Physics Social Sciences Transportation Other

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Rice Harvest Failure Risk Analysis Using Extreme Value Theory Based on Weather Index for Agricultural Business Supply Chain Management Riaman, Riaman; Sukono, Sukono; Supian, Sudradjat; Ismail, Noriszura
International Journal of Supply Chain Management Vol 9, No 5 (2020): International Journal of Supply Chain Management (IJSCM)
Publisher : ExcelingTech

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.59160/ijscm.v9i5.5345

Abstract

This paper discusses the formulation of a risk model for paddy agricultural insurance in Indonesia. Indonesia as an agricultural country with a tropical climate, where the sun shines throughout its time, farmers can plant crops throughout the season. In particular, rice farming is currently an inseparable part of most agrarian societies in Indonesia, especially in West Java. However, changes in air temperature, weather and annual rainfall, which sometimes changes uncertainly, cause changes in cropping patterns. This weather uncertainty will certainly increase the risk of crop failure. This paper will analyze the effect of climate variables on the risk of crop failure. The climate variables in this analysis consist of temperature, wind speed, maximum temperature, minimum temperature, and rainfall. The method to be developed here is to use the parametric method which will be used as a reference to determine the magnitude of risk, namely generalized pareto distribution and peak over threshold as a threshold. The results obtained that the greatest risk of losses to farmers occurred in November, December, January, February and March with a value of 0.17485. The organization of this paper consists of introduction, methodology, results and discussion, and conclusions.
Average and Risk-Return Analysis of Cryptocurrencies Using ARMA-GARCH Models Sya’imaa.HS, Audrey Ariij; Parmikanti, Kankan; Riaman, Riaman
International Journal of Global Operations Research Vol. 4 No. 4 (2023): International Journal of Global Operations Research (IJGOR), Nopember 2023
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v4i4.214

Abstract

Cryptocurrency is a digital currency that is created through encrypted cryptography with complex algorithm and connected to each other on the blockchain system. Cryptocurrencies are widely used as investment instruments for financial assets like stocks. Similar to stocks, cryptocurrencies have a high risk – high returns characteristic, but the fluctuation of cryptocurrencies are more dynamic. Professional investors would do a volatility analysis of cryptocurrencies that potentially give the best returns. Returns assessment usually refers to the average value or expected return, while the estimated investment risk can be seen and analyzed from the volatility value. The study aimed to analyze the average and volatility of cryptocurrencies. This research was a case study done on five cryptocurrencies that are included at Top Gainers of 30 days update lists, in September 2022. The period is January 1, 2019 – September 30, 2022. The ARMA-GARCH models using three types of GARCH models, those are SGARCH(1,1), IGARCH(1,1), and TGARCH(1,1) were used for analysis. Based on the results of this research, the best ARMA-GARCH model for cryptocurrency Quant, XRP, Stellar, Monero, and Decred is ARMA(1,0)-SGARCH(1,1), ARMA(32,0)-TGARCH(1,1), ARMA(0,14)-SGARCH(1,1), ARMA(1,4)-TGARCH(1,1), and ARMA(1,0)-SGARCH(1,1). Best expected return with the lowest volatility value is owned by Monero (XMR). The research can be used by investors as a consideration in investing decision-making to cryptocurrencies.
Determination of Life Microinsurance Premium Using the Commercial Rate Method Widyani, Azizah Rini; Riaman, Riaman; Sukono, Sukono
International Journal of Global Operations Research Vol. 4 No. 4 (2023): International Journal of Global Operations Research (IJGOR), Nopember 2023
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v4i4.256

Abstract

Microinsurance is insurance that is intended for people who have low incomes which is made with the aim that all levels of society can have insurance with affordable prices. Life insurance is a protection program for families in the event of unwanted things, such as death or permanent disability, to policy holders. This study aims to determine the life microinsurance premium. The data sample used is data on claim and benefit paid by life insurance company obtained from the official website of Otoritas Jasa Keuangan (OJK) Indonesia, which is assumed to have a log-normal distribution. The research method is to test the distribution of claims from the sample data using the Kolmogorov-Smirnov test. Then determine the value of the claim distribution parameter, and then calculating life microinsurance premium using the Commercial Rate method. The results obtained in the form of premium for life microinsurance that are payable by low-income people.
Calculation of Value-at-Risk Variance-Covariance with the Approach of Simple Cash Portfolio, Factor Models and Cash Flow Ghazali, Puspa Liza; Riaman, Riaman; Ulfatmi, Ristifani
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.v1i1.20

Abstract

One way to calculate Value-at-Risk (VaR) is the variation-covariance method. The calculation of VaR covariance assumes stock data is normally distributed. The data needed to calculate VaR by the variance-covariance method is the covariance matrix of Bank Danamon and Bank Mandiri stock data. The main topics discussed in this paper are calculating VaR covariance with a simple cash portfolio approach, factor models and cash flow. For comparison of the use of the three approaches Backtesting, the backtest results indicate that the factor model is the best method.  
Analysis of the Effect of Temperature and Rainfall on Coffee Productivity in Indonesia using the Cobb-Douglas model for Determining Insurance Premiums Novianti, Saqila; Riaman, Riaman; Sukono, Sukono
Operations Research: International Conference Series Vol. 2 No. 3 (2021): Operations Research International Conference Series (ORICS), September 2021
Publisher : Indonesian Operations Research Association (IORA)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/orics.v2i3.179

Abstract

Coffee is one of Indonesia's foreign exchange earners and plays an important role in the development of the plantation industry. Indonesia is a coffee bean producing country ranked 4th in the world after Brazil, Vietnam, and Colombia. The agricultural sector in Indonesia has risks and uncertainties including a decrease in production yields which results result in a decrease in farmers income. The risk of loss in coffee is caused by temperature and rainfall. Efforts that can be made to reduce losses are through risk transfer through agricultural insurance. The purpose of this study to analyze the effect of temperature and rainfall on coffee productivity in Indonesia and determine the insurance premium. This research uses data on coffee productivity, temperature, and rainfall from 1980-2019. The relationship between coffee productivity as a dependent variable while temperature and rainfall as an independent variable was used the Cobb-Douglas method. The results that will be obtained from this study indicate the temperature and rainfall affect coffee productivity in Indonesia, and obtain insurance issued by the farmers to the insurance companies. The results obtained from the data analysis show that temperature and rainfall have an effect on coffee productivity in Indonesia. The results of productivity predictions are used as the basis for determining the price of insurance premiums issued bye insurance companies.
Analysis of Farmers' Risk Preference Factors on the Determination of Rice Micro Insurance Premiums Using the Utility Theory Pramudhita, Annisa; Riaman, Riaman; Pryimak, Evgen
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.v4i2.208

Abstract

Business activities in the agricultural sector, especially rice farming, will always be faced with a high risk of uncertainty. The risks experienced by farmers come from the natural environment, natural disasters, climate, and plant-disturbing organisms. To avoid this situation, the government is currently providing the best solution in the form of a Rice Farming Insurance program (AUTP), which is expected to provide protection against the risk of crop failure that farmers may experience. The purpose of this research is to analyze rice farmers' risk preferences in determining rice farming insurance premiums. The research method for rice farmers' risk preferences was analyzed using constant relative risk averse (CRRA) utility theory. Based on the research results, rice farmers in Majalaya District, Bandung Regency has a very risk averse risk preference. The risk preferences of farmers participating in AUTP and non-AUTP are very risk averse. The policy implications that can be explained based on the results of this study are increasing farmers' understanding regarding the description and benefits of agricultural insurance through counseling and assistance by the Agriculture Service and PT. Jasindo, so that rice farmers in Majalaya District, Bandung Regency have awareness of the benefits of insurance. Encouraging the participation of rice farmers in Majalaya District in the AUTP program can also be carried out by prioritizing rice farmers with very risk averse risk preferences. The policy implications that can be explained based on the results of this study are increasing farmers' understanding regarding the description and benefits of agricultural insurance through counseling and assistance by the Agriculture Service and PT. Jasindo, so that rice farmers in Majalaya District, Bandung Regency have awareness of the benefits of insurance. Encouraging the participation of rice farmers in Majalaya District in the AUTP program can also be carried out by prioritizing rice farmers with very risk averse risk preferences. The policy implications that can be explained based on the results of this study are increasing farmers' understanding regarding the description and benefits of agricultural insurance through counseling and assistance by the Agriculture Service and PT. Jasindo, so that rice farmers in Majalaya District, Bandung Regency have awareness of the benefits of insurance. Encouraging the participation of rice farmers in Majalaya District in the AUTP program can also be carried out by prioritizing rice farmers with very risk averse risk preferences.
Risk Analysis on Foreign Exchange Using Value-at-Risk Parametric Approach Susanto, Sunarta; Riaman, Riaman; Sukono, Sukono
International Journal of Global Operations Research Vol. 3 No. 4 (2022): International Journal of Global Operations Research (IJGOR), November 2022
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v3i4.190

Abstract

Foreign Exchange or usually known as Forex are one of the most famous investment objects. When investing in Forex, it is necessary to know the movements of the foreign exchange price as well as the risk that might happen. The purpose of this study is to predict the level of risk, seeing the characteristics of foreign exchange, and compare which foreign exchange is better to invest in. The Value-At-Risk (VaR) models used to predict the risk of the foreign exchange are VaR of standard normal distribution approach, VaR of Student-t distribution approach, and Modified VaR normal. Based on the research, the potential loss for AUD is Rp 9,445.26, CAD is Rp 7,972.62, CHF is Rp 7,073.74, EUR is Rp 6281.90, GBP is Rp 9,234.37, JPY is Rp 10,971.68, SGD is Rp 3,988.65, and USD is Rp 2,896.47 with an assumption that an investor invests as much as Rp 1,000,000.00 to each foreign exchange. USD is the best foreign exchange to choose because it has the lowest potential risk based on its VaR.
Application of Black Scholes Method for Determining Agricultural Insurance Premiums Based on the Rainfall Index Using the Historical Burn Analysis Method Zahra, Ami Emelia Putri; Riaman, Riaman; Sukono, Sukono
International Journal of Global Operations Research Vol. 4 No. 1 (2023): International Journal of Global Operations Research (IJGOR), February 2023
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v4i1.209

Abstract

Indonesia is a tropical area where it often rains. Uncertain rainfall conditions can have an impact in the form of losses in agriculture, including for rice farmers. The total rice productivity in Indonesia, one of which is in Majalengka Regency, is thought to be quite high, so the losses will be significant. Therefore, it is necessary to make efforts to reduce the impact of losses experienced by farmers, one of which is through insurance programs in the agricultural sector. Rainfall index-based agricultural insurance provides protection to farmers in the form of capital assistance in the event of crop damage resulting in crop failure due to erratic rainfall. This study aims to calculate the agricultural insurance premium based on the rainfall index. The method used to calculate the premium is the Black-Scholes method, while the Historical Burn Analysis method is used to determine the rainfall index. The data used is rainfall data in Majalengka Regency in 2014–2021. The results showed that the premium price in Majalengka Regency depends on the value of the trigger obtained, with a price range between IDR 1,089,646.39 and IDR 1,266,213.02.
Determination of Credit Insurance Premium Due to Default Using the Black-Scholes-Merton Model Ramdhania, Tya Shafa; Riaman, Riaman; Sukono, Sukono
International Journal of Global Operations Research Vol. 4 No. 1 (2023): International Journal of Global Operations Research (IJGOR), February 2023
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v4i1.210

Abstract

Banks are vulnerable to the risk of bad credit or default because customers are unable to pay their debts. Risks that may occur in the future can be in the form of unexpected events and can be experienced by anyone, causing the loan to not be fully repaid. Therefore, it is necessary to have insurance to overcome risks due to default in protecting oneself from the risk of unexpected events, namely credit insurance. This study aims to calculate the premium price using the Black-Scholes-Merton model approach. The data used is arrears data of customers PD. Bank Perkreditan Rakyat (BPR) Artha Sukapura in 2003-2020. The data is compiled into a cumulative relative frequency distribution table, resulting in a number of random numbers. Based on the cumulative relative frequency distribution table, data simulation was determined using Monte Carlo. Based on the results of the analysis, the simulation data obtained by the standard deviation are relatively stable and lognormal distributed. Then pricing is done to determine the premium price from the sample data. From the results of the calculations in this study, a premium value of  was obtained for arrears of  with a loan of .
Comprative Analysis of Profitability Before and During The New Normal During Covid-19 Moisino, Misel Lindi; Parmikanti, Kankan; Riaman, Riaman
International Journal of Global Operations Research Vol. 4 No. 3 (2023): International Journal of Global Operations Research (IJGOR), August 2023
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v4i3.232

Abstract

The pandemic caused by the corona virus or what is often referred to as Covid-19 has a very big impact on Indonesia and even the whole world. Various aspects were affected including trade. The drastic decline in business profits caused by Covid-19 is not even a few businesses that have gone out of business. One of the affected businesses is PT OSATEX 2. This study aims to determine the difference in profitability in PT OSATEX 2 Company before and during the New Normal during the Covid-19 period. This research uses quantitative and qualitative types of research with the calculation of profitability ratios. The profitability ratios used are Return on Assets (ROA), Return on Equity (ROE), Net Profit Margin (NPM) and Gross Profit Margin (GPM). The data collection technique in this study is directly by analyzing the financial statements of the PT OSATEX 2 company during the period March 2020 – December 2021. The data analysis methods used are the Wilcoxon Non Parametik test and the Paired sample t-test with the help of Microsoft Office Excel 2019 and IBM SPSS. The result of the study was that there were differences in the value of Return on Assets (ROA) before and during the New Normal during the Covid-19 period, although there was no difference in the value of Return on Equity (ROE), Net Profit Margin (NPM) and Gross Profit Margin (GPM) before and during the New Normal during the Covid-19 period. There is a decrease in the ROA and ROE value indicating that the company PT OSATEX 2 has experienced negative developments while for NPM and GPM the company PT OSATEX 2 has increased, indicating that the company is experiencing positive developments with the New Normal situation.
Co-Authors Adib, Andhita Zahira Ariyanti, Devi Bayyinah, Ayyinah Nur Betty Subartini Dewi Ratnasari Dianti, Estu Putri Dwi Susanti Ghazali, Puspa Liza Hasbullah, Soeryana Hidayana, Rizki Apriva Hukama, Atha Iin Irianingsih Kahar, Ramadhina Hardiva Kankan Parmikanti Laksito, Grida Saktian Maharani, Asthie Zaskia Ma’mur, Lutfi Praditia Moisino, Misel Lindi Noriszura Ismail Novianti, Saqila Pramudhita, Annisa Pryimak, Evgen Putri S. R., Aulianda Anisa Putri, Aulya Putri, Linda Damayanti Raharjanti, Amalia RAHMAWATI, SEPTI Ramdhania, Tya Shafa Reisnanda, Aldino Riadi, Nadia Putri Silvia Wijaya Subartiny, Betty Sukono . Supian, Sudradjat Susanto, Sunarta Sya’imaa.HS, Audrey Ariij Tiswaya, Waway Ulfatmi, Ristifani Vimelia, Willen Wahid, Alim Jaizul Widyani, Azizah Rini Yasmin, Arla Aglia Yeremia Herry Parulian, Yeremia Herry Zahra, Ami Emelia Putri Zakirah, Khalilah Razanah