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All Journal International Journal of Quantitative Research and Modeling
Moch Panji Agung Saputra
Department Of Mathematics, Faculty Of Mathematics And Natural Sciences, Padjadjaran University, Sumedang, Indonesia
Computer Science & IT Decision Sciences, Operations Research & Management Engineering Environmental Science Physics

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Implementation of Ruin Probability Model in Life Insurance Risk Management Nestia Lianingsih; Rizki Apriva Hidayana; Moch Panji Agung Saputra
International Journal of Quantitative Research and Modeling Vol. 5 No. 4 (2024): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v5i4.816

Abstract

This study examines the implementation of the ruin probability model in risk management in life insurance companies. The main focus of this study is to evaluate how factors such as initial surplus, premium revenue level, and claim frequency affect the ruin probability of insurance companies. Using the collective risk model approach and relevant claim distribution, this study develops two methods to calculate the ruin probability: an analytical approach and a Monte Carlo simulation. The simulation results show that increasing the initial surplus and premium level significantly reduces the ruin risk, while increasing the claim frequency increases the ruin probability. In addition, the gamma claim distribution is more suitable for modeling claims in life insurance than the exponential distribution. Model validation is carried out by comparing the prediction results with historical data of insurance companies, which shows a high level of accuracy. This study provides important insights for insurance companies in designing more effective and optimal risk management strategies.
Implementation of the Gated Recurrent Unit (GRU) Model for Bank Mandiri Stock Price Prediction Moch Panji Agung Saputra; Renda Sandi Saputra; Dede Irman Pirdaus
International Journal of Quantitative Research and Modeling Vol. 6 No. 1 (2025): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i1.894

Abstract

Stock price prediction is a crucial aspect in the financial world, especially in making investment decisions. This study aims to analyze the performance of the Gated Recurrent Unit (GRU) model in predicting Bank Mandiri (BMRI.JK) stock prices using historical data for five years. Stock data was collected from Yahoo Finance and normalized using Min-Max Scaling to improve model stability. Furthermore, the windowing technique was applied to form a dataset that fits the architecture of the time series forecasting-based model. The developed GRU model consists of two GRU layers with 128 neuron units, two dropout layers to prevent overfitting, and one output layer with one neuron to predict stock prices. Model evaluation was carried out using the Mean Squared Error (MSE), Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and R-squared (R² Score) metrics. The experimental results show that the GRU model is able to produce predictions with a high level of accuracy, indicated by the R² Score value of 0.9636, which indicates that the model can explain 96.36% of stock price variability based on historical data.
Comparison of Random Forest and SVM Algorithms in Classification of Diabetic Retinopathy Based on Fundus Image Texture Features Moch Panji Agung Saputra; Renda Sandi Saputra
International Journal of Quantitative Research and Modeling Vol. 6 No. 2 (2025): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i2.1011

Abstract

Diabetic Retinopathy (DR) is a microangiopathic complication of diabetes mellitus that can cause visual impairment to permanent blindness. Early detection of DR is essential to prevent disease progression, but conventional methods require time, cost, and expertise that are not always available. This study aims to compare the performance of the Random Forest (RF) and Support Vector Machine (SVM) algorithms in DR classification based on texture features extracted from retinal fundus images. The dataset used consists of 3,000 retinal fundus images obtained from the Kaggle platform, divided into 2,400 training data and 600 test data. Image preprocessing includes conversion to grayscale, resizing to a resolution of 128×128 pixels, and normalization. Feature extraction is performed using a combination of Local Binary Pattern (LBP) and Gray Level Co-occurrence Matrix (GLCM) to produce a 14-dimensional feature vector. Performance evaluation uses accuracy, precision, recall, F1-score, ROC curve, and 5-fold cross-validation metrics. The results showed that Random Forest significantly outperformed SVM with an accuracy of 96% compared to 64%, an AUC value of 0.99 compared to 0.72, and an average cross-validation accuracy of 94.5% compared to 63.42%. Random Forest also showed balanced performance in both classes with precision, recall, and F1-score of 0.96, while SVM experienced classification imbalance especially in the disease class. This study proves that Random Forest is a more optimal algorithm for an automatic DR detection system based on fundus image texture features and can support increasing the accessibility of DR screening in areas with limited specialist medical personnel.
Value-at-Risk (VaR) Modeling of LQ45 Stocks Using the GARCH Approach Saskia Iqlima Bilhaq; Rona Afiya Muthmainah; Moch Panji Agung Saputra
International Journal of Quantitative Research and Modeling Vol. 6 No. 4 (2025): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v6i4.1112

Abstract

This study aims to model volatility and measure market risk of leading Indonesian stocks included in the LQ45 index using the GARCH approach. Daily closing price data from September 2022 to August 2025 were analyzed to estimate conditional volatility and Value-at-Risk (VaR) at 95% and 99% confidence levels. The GARCH model was selected to capture volatility clustering and conditional heteroskedasticity in stock returns. Residual distributions considered include normal, Student-t, and skewed-t to improve risk estimation, particularly for extreme events. Results indicate that most stocks are best modeled by GARCH(1,1) with a Student-t distribution, reflecting fat tails in return data. VaR estimates provide realistic maximum potential losses varying across stocks, with UNVR and ADRO showing relatively higher risk levels. Backtesting through Kupiec and Christoffersen tests confirms the accuracy and reliability of the GARCH-based VaR model for risk management. This study offers practical insights for investors and portfolio managers in understanding and managing risk exposures of top Indonesian stocks.
Co-Authors Dede Irman Pirdaus Nestia Lianingsih Renda Sandi Saputra Rizki Apriva Hidayana Rona Afiya Muthmainah Saskia Iqlima Bilhaq