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All Journal BIMASTER BAREKENG: Jurnal Ilmu Matematika dan Terapan MATHunesa: Jurnal Ilmiah Matematika
Pratiwi, Yuyun Eka
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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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PREDIKSI IMBAL HASIL DAN HARGA SAHAM MENGGUNAKAN GEOMETRIC DAN GEOMETRIC FRACTIONAL BROWNIAN MOTION DENGAN VOLATILITAS Samsir, Rusni; Pratiwi, Yuyun Eka; Rahmawati, Asri; Rochmah, Onelia
BIMASTER : Buletin Ilmiah Matematika, Statistika dan Terapannya Vol 13, No 6 (2024): Bimaster : Buletin Ilmiah Matematika, Statistika dan Terapannya
Publisher : FMIPA Universitas Tanjungpura

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26418/bbimst.v13i6.89745

Abstract

Pemodelan pasar keuangan, khususnya pasar saham, menjadikan model Geometric Brownian Motion (GBM) sebagai elemen penting dalam membangun model statistik. Penelitian ini menawarkan metode untuk meramalkan harga penutupan masa depan perusahaan berukuran kecil dengan menggunakan Geometric Brownian Motion dengan volatilitas stokastik. Model Geometric Fractional Brownian Motion (GFBM) digunakan untuk memodelkan jalur harga aset dengan mengintegrasikan parameter Hurst. Studi ini menganalisis akurasi model GBM dengan volatilitas stokastik dan model GFBM dalam memprediksi harga saham dan imbal hasil berdasarkan simulasi harga saham PGAS. Hasil menunjukkan bahwa model GBM dengan model volatilitas stokastik kanonik (SV-AR(1)) lebih akurat dibandingkan model GFBM untuk mensimulasikan imbal hasil dan jalur harga masa depan pada data yang diberikan.  Kata Kunci : Model Stokastik, Volatilitas, Regresi, Geometric Brownian Motion
COMPARISON OF FIRST-TO-DIE AND LAST-SURVIVOR JOINT LIFE INSURANCE UNDER COMMON SHOCK Satyahadewi, Neva; Jaya, Louis Putra; Kurniawan, Hendri; Pratiwi, Yuyun Eka
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 20 No 2 (2026): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol20iss2pp0913-0926

Abstract

Joint life insurance is a type of life insurance policy that covers two individuals, typically a married couple, under a single contract. The benefit is paid either upon the first death (First-to-Die) or after both individuals have passed away (Last-Survivor), depending on the policy type. This study explores the comparative analysis of First-to-Die and Last-Survivor joint life insurance policies under the impact of Common Shock. Common Shock refers to external catastrophic events, such as accidents or natural disasters, that simultaneously increase the mortality risk of both insured individuals. In this study, the Common Shock effect is parameterized by assigning additional joint mortality probabilities ranging from 2.5% to 10%, with increments of 2.5%. A total of 8 scenarios were tested. The first four scenarios vary the Common Shock probabilities at 2.5%, 5.0%, 7.5%, and 10.0%, while keeping the Interest Rate constant at 6.25%. The remaining four scenarios vary the Interest Rates at 5.50%, 5.75%, 6.00%, and 6.25%, with the Common Shock probability fixed at 10.0%. The analysis is conducted through actuarial modeling using present value formulas to assess total insurance premiums under these varying conditions. Using a benefit value of IDR 500,000,000.00 and a premium payment period of 10 years, this study demonstrates how these factors influence premium amounts. The incorporation of Common Shock into premium calculations offers a more realistic perspective in assessing insurance risk and cost. Mortality assumptions are based on the 2023 Indonesian Mortality Table published by BPJS Kesehatan, and the present value of future benefits is calculated using the specified interest rates. The findings reveal that the First-to-Die policy consistently results in significantly higher total premiums compared to the Last-Survivor policy under the same assumptions. On average across all scenarios, the total premium for First-to-Die is 5.67 times greater, primarily due to the higher probability of earlier benefit claims and shorter investment durations from the insurer’s perspective. The First-to-Die policy is more suitable for those with chronic illnesses or financial dependents, while the Last-Survivor policy is preferable for individuals focused on legacy planning.
PERBANDINGAN METODE DOUBLE EXPONENTIAL SMOOTHING DAN DOUBLE MOVING AVERAGE UNTUK PERAMALAN HARGA CABAI MERAH BESAR PROVINSI KALIMANTAN BARAT Jonathan, Enrico; Pratiwi, Yuyun Eka
MATHunesa: Jurnal Ilmiah Matematika Vol. 13 No. 3 (2025)
Publisher : Universitas Negeri Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26740/mathunesa.v13n3.p350-357

Abstract

Cabai merah besar merupakan salah satu komoditas hortikultura yang memiliki peranan penting dalam konsumsi rumah tangga dan industri pangan di Kalimantan Barat. Fluktuasi harga cabai merah besar yang signifikan berdampak langsung pada inflasi, daya beli masyarakat, serta keberlangsungan usaha petani dan pedagang. Oleh karena itu, diperlukan metode peramalan yang tepat untuk memproyeksikan harga di masa mendatang. Penelitian ini bertujuan membandingkan kinerja metode Double Moving Average dengan orde 2 x 2 hingga 9 x 9 dan Double Exponential Smoothing dua parameter (Holt’s Method) dengan variasi nilai α dan β dari 0,1 sampai 0,9 dalam meramalkan harga cabai merah besar di Kalimantan Barat periode 2023-2025. Hasil penelitian menunjukkan bahwa metode Double Exponential Smoothing dengan α dan β = 0,6 menghasilkan nilai kesalahan terkecil dengan RMSE sebesar 10053,72 dan MAPE 13,74% sedangakan metode DMA terbaik diperoleh pada orde 4 x 4 dengan RMSE sebesar 11241,01 dan MAPE 16,48%. Dengan demikian, DES dengan α dan β = 0,6 dinyatakan lebih unggul dalam meramalkan harga cabai merah besar dibandingkan DMA. Prediksi empat periode ke depan, yaitu September hingga Desember 2025, menunjukkan tren penurunan harga secara bertahap.
Co-Authors Asri Rahmawati Hendri Kurniawan, Hendri Jaya, Louis Putra Jonathan, Enrico Neva Satyahadewi Rochmah, Onelia Samsir, Rusni