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All Journal CAUCHY: Jurnal Matematika Murni dan Aplikasi JTAM (Jurnal Teori dan Aplikasi Matematika) Zero : Jurnal Sains, Matematika, dan Terapan Teorema: Teori dan Riset Matematika Jurnal Cendekia : Jurnal Pendidikan Matematika International Journal of Supply Chain Management FIBONACCI: Jurnal Pendidikan Matematika dan Matematika Jurnal Ilmiah Matematika dan Pendidikan Matematika (JMP) Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika International Journal of Business, Economics, and Social Development International Journal of Research in Community Services 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 Euclid Jurnal Matematika Integratif In Search (Informatic, Science, Entrepreneur, Applied Art, Research, Humanism)
Riaman Riaman
Fakultas Matematika Dan Ilmu Pengetahuan Alam, Universitas Padjadjaran
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Pemilihan Model Autoregressive Moving Average Terbaik Dalam Meramalkan Data Harga Saham Sektor Keuangan Luki Setiawan; Dwi Susanti; Riaman Riaman
In Search (Informatic, Science, Entrepreneur, Applied Art, Research, Humanism) Vol 21 No 2 (2022): In Search
Publisher : LPPM UNIBI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37278/insearch.v21i2.520

Abstract

Salah satu instrumen investasi yang populer di tengah masyarakat modern adalah Saham. Saham termasuk dalam instrumen investasi yang memiliki tingkat return yang besar namun memiliki tingkat risiko yang besar juga, oleh sebab itu dibutuhkan peramalan harga saham dalam menghadapi risiko tersebut. Data harga saham masuk golongan data deret waktu sehingga diperlukan analisis deret waktu dalam meramalkannya. Model yang paling umum dan populer digunakan dalam peramalan deret waktu adalah model Autoregressive Integrated Moving Average (ARIMA). Tujuan dalam penelitian ini adalah untuk menemukan model ARIMA terbaik dalam meramalkan data harga saham sektor keuangan. Data yang digunakan adalah data harga penutupan saham BBCA, BBTN, dan BMRI selama 1 tahun (1 April 2021 – 31 Maret 2022). Estimasi parameter ARIMA dilakukan menggunakan Maximum Likelihood Estimation. Hasil penelitian menunjukkan bahwa model ARIMA (0,1,1) merupakan model ARIMA terbaik untuk peramalan data harga saham BBCA dengan nilai RMSE 126,757. Di sisi lain, model ARIMA (1,1,0) merupakan model ARIMA terbaik untuk peramalan data harga saham BBTN dan BMRI dengan nilai RMSE secara berturut-turut yaitu 40,873 dan 151,152. Dapat dilihat juga ketiga peramalan yang dilakukan menghasilkan nilai MAPE < 10% yang berarti peramalan dapat dinyatakan sangat akurat.
Perbandingan Nilai Cadangan Premi Menggunakan Metode Zillmer dan Metode Commissioners Pada Asuransi Jiwa Dwiguna Annisa Aprillia; Betty Subartini; Riaman Riaman
In Search (Informatic, Science, Entrepreneur, Applied Art, Research, Humanism) Vol 21 No 2 (2022): In Search
Publisher : LPPM UNIBI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37278/insearch.v21i2.526

Abstract

Asuransi menjadi cara untuk mengalihkan risiko yang mungkin terjadi di masa depan. Tertanggung yang menjadi pemegang polis atau memiliki asuransi wajib membayarkan premi secara berkala setiap tahunnya kepada perusahaan. Perusahaan asuransi memerlukan dana untuk memenuhi apabila banyak terjadi klaim dari pemegang polis, sehingga dari premi yang dibayarkan disimpan dalam bentuk cadangan premi. Cadangan premi perlu dikelola dengan baik supaya perusahaan tidak mengalami kerugian akibat kesalahan perhitunga. Dalam penelitian ini cadangan premi dihitung dengan menggunakan Metode Zillmer dan Metode Commissioners yang mana metode Prospektif digunakan sebagai dasar perhitungan. Tujuan dari penelitian ini adalah untuk mengetahui nilai cadangan premi terbaik pada Asuransi Jiwa Dwiguna. Berdasarkan hasil penelitian, metode Zillmer menunjukkan nilai cadangan yang berbanding lurus dengan usia pemegang polis. Sedangkan Metode Commissioners menunjukkan hasil yang berbanding terbalik dengan usia pemegang polis. Dari hasil perhitungan cadangan premi dengan menggunakan metode Zillmer dan metode Commissioners, dapat disimpulkan bahwa metode Zillmer menghasilkan cadangan yang lebih baik dibandingkan Metode Commissioners.
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%.
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.
Co-Authors AGUS SUPRIATNA Aldino Reisnanda Alit Kartiwa Anang Muhajirin Andhita Zahira Adib Annisa Aprillia Ariyanti, Devi Arla Aglia Yasmin Ary Robayani Asthie Zaskia Maharani Atha Hukama Aulianda Anisa Putri S. R. Aulya Putri Ayyinah Nur Bayyinah Azizah Rini Widyani Bayyinah, Ayyinah Nur Betty Subartini Betty Subartini Betty Subartini Betty Subartini Dewi Ratnasari Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Dwi Susanti Edi Kurniadi Emmanuel Parulian Sirait Estu Putri Dianti Ghazali, Puspa Liza Hasbullah, Soeryana Herlina Napitupulu Hidayana, Rizki Apriva Hukama, Atha Iin Irianingsih Jumadil Saputra Kahar, Ramadhina Hardiva kalfin Kalfin Kankan Parmikanti Khalilah Razanah Zakirah Komar Komar Laksito, Grida Saktian Linda Damayanti Putri Luki Setiawan Luki Setiawan Lutfi Praditia Ma’mur Maharani, Asthie Zaskia Ma’mur, Lutfi Praditia MIFTAAHUL JANNAH Moisino, Misel Lindi Nahda Nabiilah Noriszura Ismail Novianti, Saqila Pramudhita, Annisa Pryimak, Evgen Putri Adhira Novalia Putri Chaerunnisa Febryanti Putri, Aulya Putri, Linda Damayanti Qurrotu Aini Radya Pratiwi Serila Raharjanti, Amalia RAHMAWATI, SEPTI Ramdhania, Tya Shafa Ratih Kusumadewi Riadi, Nadia Putri Riza Adrian Ibrahim Saefullah, Rifki Silvia Wijaya Soeryana Hasbullah Subartiny, Betty Sudartianto Sudartianto Sukono Sukono Supian, Sudradjat Susanto, Sunarta Sya’imaa.HS, Audrey Ariij Tika Fauzia Tyrenia Rahmawati Ulfatmi, Ristifani Vimelia, Willen Wahid, Alim Jaizul Waway Tiswaya Widyani, Azizah Rini Willen Vimelia Yasir Salih Yasmin, Arla Aglia Yeremia Herry Parulian Yeremia Herry Parulian, Yeremia Herry Yudhi Andriyana Yulianus Brahmantyo Zahra, Ami Emelia Putri