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All Journal Media Statistika BAREKENG: Jurnal Ilmu Matematika dan Terapan International Journal of Global Operations Research
Sutisna, Sarah
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Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

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Application of Black Scholes Method to Determining Premium Insurance In the Potato Agricultural Based on Price Index Sutisna, Sarah; Sukono, Sukono; Napitupulu, Herlina
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.v4i4.258

Abstract

Potato is one of the leading horticultural commodities. Potato farming business often experiences price fluctuations that cause losses to farmers.The government is making efforts to minimize the farmers' losses by issuing agricultural insurance programs. This study aims to determine the relationship between potato prices at the provincial level and potato prices at the farmer level and to determine agricultural insurance premiums based on the price index. The data used are potato price data at the West Java Province level and potato price data at the farmer level in Pangalengan District. The correlation between provincial level prices and farmer level prices can be obtained using the Pearson Product Moment correlation method. The price index is calculated using the relative price index method. Determination of the premium to be paid by farmers using the Black-Scholes method. The results of the analysis show that potato prices at the West Java Province level have a very strong correlation with farmer prices in Pangalengan District in October. Based on the Black-Scholes method, the premium value depends on the trigger value obtained with a price range between IDR 9,806,100.00 to IDR 10,267,784.00 for a sum insured of IDR 39,403,000 per one contract period. Various premium values can be a consideration for farmers in choosing an agricultural insurance policy.
DETERMINING AGRICULTURAL INSURANCE PREMIUMS USING THE BLACK-SCHOLES APPROACH BASED ON LINEAR REGRESSION OF POTATO PRODUCTION AND PRICES Purwani, Sri; Sutisna, Sarah; Fasa, Rayyan Al Muddatstsir
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 4 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss4pp2713-2720

Abstract

Price fluctuations, which often occur in the agricultural sector, cause farmers to experience losses when selling prices are not balanced with production costs. The government is trying to minimize farmers' losses by issuing an agricultural insurance program. One of the problems with agricultural insurance is determining the premium that farmers must pay so as not to disadvantage the insurance company. This paper explores the price of insurance premiums associated with potato cultivation in West Java, Indonesia. In addition, this research analyzes the factors that influence prices by focusing on the relationship between potato production levels and market prices. Therefore, a comprehensive data set of potato production data and associated prices is used. Regression analysis, as a statistical technique, is used to model the relationships. The Black-Scholes method then uses the obtained result to determine insurance premiums. This method is used due to a theoretical framework for pricing options that allows selecting an option's fair price using a structured, defined methodology that has been tried and tested. The premium values that depend on the trigger value are then obtained with a range of prices between IDR 5,687,670 and IDR 18,067,953 for an insured amount of IDR 39,403,000 per contract period. The premium price range allows farmers to choose the right agricultural insurance policy. It also allows insurance companies to determine insurance premiums for potato cultivation.
DETERMINATION OF INSURANCE PREMIUMS FOR CHILI PLANTATION USING THE BLACK-SCHOLES MODEL WITH CLAYTON COPULA APPROACH Sutisna, Sarah; Sukono, Sukono; Napitupulu, Herlina
MEDIA STATISTIKA Vol 18, No 1 (2025): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.18.1.13-24

Abstract

Agriculture is a vulnerable sector to the risk of crop damage due to climate change and other environmental factors. One source of risk in agriculture is rainfall, which significantly affects productivity and farmers’ income. Traditional insurance premium calculations often rely on assumptions of normal distribution and linear dependency, which may not accurately capture the complex and non-linear relationships between climatic and agricultural variables. This research presents a novel contribution to agricultural risk management by applying the Clayton Copula to model the dependency structure between rainfall and chili crop production output in the context of crop insurance pricing. The estimation of Copula parameters was conducted using Maximum Likelihood Estimation, yielding a parameter θ value of -0.1252, which indicates the dependency structure between the variables. The predictive accuracy of the Copula Clayton model was evaluated using the Mean Absolute Error, with a result of 0.01291, demonstrating strong relevance in describing the dependency between precipitation and yield. Furthermore, the research integrates the Copula-based rainfall modeling with the Black-Scholes model for determining insurance premiums. The findings reveal that premium prices depend on rainfall index values, where higher rainfall percentages correspond to higher premium costs.
Co-Authors Fasa, Rayyan Al Muddatstsir Herlina Napitupulu Purwani, Sri Sukono .