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All Journal International Journal of Business, Economics, and Social Development Operations Research: International Conference Series International Journal of Mathematics, Statistics, and Computing
Banowati, Puspa Dwi Ayu
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Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Languange, Linguistic, Communication & Media Mathematics Social Sciences

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Determination of Insurance Premium Rates with Aggregation Claims at BPJS with Exponential and Gamma Distributions Zakirah, Khalilah Razanah; Banowati, Puspa Dwi Ayu
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.v5i3.329

Abstract

Badan Penyelenggara Jaminan Sosial (BPJS) is a legal entity that has been provided by the government for the community with the aim of providing protection for all workers in Indonesia from certain socio-economic risks. National development, marked by planned and continuous strides, embodies a commitment to engage all societal, national, and state levels in fostering progress. Encompassing political, economic, socio-cultural, and defense and security realms, the development is meticulously designed to be comprehensive, targeted, integrated, gradual, and sustainable. The overarching objective is to catalyze an augmentation of national capabilities, align the standard of living for the Indonesian people with developed nations, and elevate overall welfare. To establish premium rates, a method involves multiplying the conditional expected value of claim frequency by the size of the claim, considering observed risk characteristics. A claim, in this context, constitutes a formal request to the insurance company, seeking payment in accordance with the terms of the agreement. The primary objective of this study is to establish the insurance premium rates applicable to policyholders (the insured) through the estimation of parameters in the distribution governing aggregate claims. This involves the distribution of both the number of claims and the size of the claims, and the estimation is performed using the moment method. Premium computations are executed based on two key principles: the pure premium principle and the expected value principle. This research produces the conclusion that the Poisson-Gamma aggregate claims distribution has a premium amount of 3.61 times greater than Poisson-Exponential due to the application of the anticipated value principle, namely IDR 4,403,542.94 per month and IDR 1,219,878.45 per month, respectively.
Determination of Insurance Premium Rates with Aggregation Claims at BPJS with Exponential and Gamma Distributions Zakirah, Khalilah Razanah; Banowati, Puspa Dwi Ayu
International Journal of Mathematics, Statistics, and Computing Vol. 2 No. 2 (2024): International Journal of Mathematics, Statistics, and Computing
Publisher : Communication In Research And Publications

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijmsc.v2i2.103

Abstract

Badan Penyelenggara Jaminan Sosial (BPJS) is a legal entity that has been provided by the government for the community with the aim of providing protection for all workers in Indonesia from certain socio-economic risks. National development, marked by planned and continuous strides, embodies a commitment to engage all societal, national, and state levels in fostering progress. Encompassing political, economic, socio-cultural, and defense and security realms, the development is meticulously designed to be comprehensive, targeted, integrated, gradual, and sustainable. The overarching objective is to catalyze an augmentation of national capabilities, align the standard of living for the Indonesian people with developed nations, and elevate overall welfare. To establish premium rates, a method involves multiplying the conditional expected value of claim frequency by the size of the claim, considering observed risk characteristics. A claim, in this context, constitutes a formal request to the insurance company, seeking payment in accordance with the terms of the agreement. The primary objective of this study is to establish the insurance premium rates applicable to policyholders (the insured) through the estimation of parameters in the distribution governing aggregate claims. This involves the distribution of both the number of claims and the size of the claims, and the estimation is performed using the moment method. Premium computations are executed based on two key principles: the pure premium principle and the expected value principle. This research produces the conclusion that the Poisson-Gamma aggregate claims distribution has a premium amount of 3.61 times greater than Poisson-Exponential due to the application of the anticipated value principle, namely IDR 4,403,542.94 per month and IDR 1,219,878.45 per month, respectively.
Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT) Banowati, Puspa Dwi Ayu; Subartini, Betty; Sukono, Sukono
International Journal of Business, Economics, and Social Development Vol. 5 No. 1 (2024)
Publisher : Rescollacom (Research Collaborations Community)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijbesd.v5i1.584

Abstract

Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This research aims to calculate the expected return on Sharia-compliant stocks and determine the optimal portfolio. The data used in this study includes stocks within the Indonesian Sharia Stock Index (ISSI) in the energy and mining sectors from November 1, 2022, to October 30, 2023. The analytical models employed are the Arbitrage Pricing Theory (APT) and Mean-Value at Risk (Mean-VaR). Based on the research findings, seven stocks form the composition of the optimal stock portfolio. These stocks are AKRA, ANTM, PGAS, INCO, INDY, PTBA, and MDKA, with weights of 20.54%, 19.58%, 19.02%, 14.24%, 10.97%, 8.00%, and 7.66%, respectively. The expected return for the investor is 0.13% per day, with a corresponding risk of 0.23%.
Co-Authors Betty Subartini Sukono . Zakirah, Khalilah Razanah