Article Per Year (5 Year)
p-Index From 2021 - 2026
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This Author published in this journals
All Journal Journal of Actuarial, Finance, and Risk Managment
Fauziah Nur Fahirah Sudding
President University
Economics, Econometrics & Finance Mathematics

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Value at Risk Calculation of Digital Bank Stocks Portfolio in Indonesia Steffany Indra Gunawan; Fauziah Nur Fahirah Sudding
Journal of Actuarial, Finance, and Risk Management Vol 2, No 2 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v2i2.4810

Abstract

Nowadays, stock investment has been increasingly growing in society. In investing activities, there are risks that may be experienced by investors. However, sometimes many investors do not realize how much risk that they might suffer in the future. One way that can be done to measure this risk is to calculate the Value at Risk (VaR). This study aims to calculate the VaR value of digital bank stock portfolio in Indonesia. The calculation of VaR will be done using two methods, include the Historical Simulation and Monte Carlo Simulation method. From the calculation, VaR with Historical Simulation and Monte Carlo sequentially generate results of IDR 6,006,718 and IDR 10,797,904 for 99% confidence level, IDR 4,135,857 and IDR 5,376,949 for 95% confidence level, and IDR 3,219,885 and IDR 3,417,553 for 90% confidence level. Based on the results, it is found that VaR result is directly proportional to the confidence level used. Through the calculation results, it also found that VaR value with the Monte Carlo Simulation method are greater than those with the Historical Simulation method.
Annual Premium Calculation On Single Life Insurance using Gompertz Mortality Assumptions Michelle Novia; Fauziah Nur Fahirah Sudding
Journal of Actuarial, Finance, and Risk Management Vol 2, No 2 (2023)
Publisher : Journal of Actuarial, Finance, and Risk Management

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

Abstract

Premium calculation is one of the important aspects to insurance companies. Given the importance of premiums in insurance contracts for insurance companies, determining the price of the premium must also be appropriate. Careless determination of the premium price can cause the insurance company to fail to bear the risk that the company has. There are several ways to determine premium payments. In this research the premium calculation will be computed using Gompertz mortality assumptions which will be applied to the annual premium calculation of whole life single life insurance of man and woman. The benefit assumed, interest rate, Insurer age, Gompertz parameter and several actuarial notations such as life annuity-due and net single premium is needed in the premium calculation using Gompertz mortality assumptions. This research uses the data of Indonesian Mortality table (TMI IV) and the Linear Least Squares (LLS) method to find the Gompertz parameter which then be used to find the life annuity-due that will be needed to compute the premium calculation of Gompertz assumptions. Based on the calculation performed in this research, the value of the premium using Gompertz assumptions is influenced by parameters on the Gompertz assumptions, the interest rate used, and the Insured age.
Co-Authors Michelle Novia Steffany Indra Gunawan