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Edwin Setiawan Nugraha
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Journal of Actuarial, Finance, and Risk Managment
Published by President University
ISSN : -     EISSN : 28303938     DOI : -
Core Subject : Economy, Education,
Economics, Econometrics & Finance Mathematics
This journal aims to provide high quality articles covering any and all aspects of the most recent and significant developments in the actuarial, financial, and risk management.
Arjuna Subject : Ilmu Ekonomi, Ekonometrika dan Keuangan (semua kategori) - Ilmu Ekonomi, Ekonometrika dan Keuangan (Lain-Lain)
Articles 30 Documents
 1   2   3 
The Estimation of relationship between actuarial rate of return, Maturity and Coupon: The case of Tunisia ELMGUIRHI, SONIA
Journal of Actuarial, Finance, and Risk Management Vol 3, No 2 (2024)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v3i2.5399

Abstract

The aim of this paper is to study the estimation of the relationship between the actuarial rate of return, maturity, and coupon issued by the Tunisian banking and financial institutions, knowing that it is a significant component of financing. Therefore, this relationship issue is an essential link between investments. An important first step is to study yield bonds. For various forms of financial research.To date, the research has primarily focused on the yield bonds for institutions, except for studies conducted by institutions, financial and banking. There are regression models that are tested by different methods. The first model focuses only on the relationship between the actuarial rate of return, maturity, and coupon. The other models are prominently featured in the published literature regarding the yield of bonds. From these models, we discovered that the interest rate has an impact on the yield bonds. These results indicate that the maturity and coupon have a significant impact and exhibit a favorable correlation with the actuarial rate of return. Our estimation of our models proves to provide a high level of explained variation in the yields observed in the Tunisian bonds market
The Effect of Changes in the Indonesian Mortality Table on Pension Fund Calculations Using the Projected Unit Credit Method Hidayat, Agus Sofian Eka; Lubus, Audrey Delfina; Gunawan, Mayla Uma; Zahra, Nasywa Faridah Annisa; Mely Sintia, Ni Gusti Kadek Ari
Journal of Actuarial, Finance, and Risk Management Vol 3, No 2 (2024)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v3i2.5540

Abstract

Companies are required to prepare a pension fund for their employees as a form of appreciation and compensation for the services that have been given to the companies. In Indonesia, the calculation of pension funds is regulated in the Financial Services Authority Regulation (POJK) number 3 concerning Pension Fund Investments. Projected Unit Credit uses the distribution of pension benefits that pension participants will get if they work until they reach normal retirement age with a total of years of service. In this research, the researchers are using two mortality tables on the value of pension funds using the projected unit credit method. The data in this research uses salary data from PT. XYZ with the assumption of retirement age at the age of 58, and an interest rate of 6.25% based on Bank Indonesia’s rate. The results of this research show that changes in normal cost and actuarial liability for both males and females are visible at the age of entry into employment until the middle of the working period, while the effect of changes in the mortality table at the final age approaching retirement is not very significant.
Forecasting Weekly Stock Price of PT. Aneka Tambang Tbk (ANTM) Using ARIMA Box-Jenkins Method Wardhani, Andreanne Intan Sulistyo; Yudhanegara, Mokhammad Ridwan
Journal of Actuarial, Finance, and Risk Management Vol 3, No 2 (2024)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v3i2.5564

Abstract

Stock price movements in the dynamic economic world require investors and companies to be able to predict future price changes. One method that can be used to predict is Autoregressive Integrated Moving Average (ARIMA). The application of the ARIMA method to forecasting the share price of PT Aneka Tambang Tbk (ANTM) for 4 weeks produces equation   obtained from ARIMA (3,1,0) as the best model.
Analyzing The Effect of Financial Ratio on Financial Distress Using The Logistic Regression Method in Manufacturing Companies Putri, Windi Marnizal; Irsan, Maria Yus Trinity
Journal of Actuarial, Finance, and Risk Management Vol 3, No 2 (2024)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v3i2.5566

Abstract

Financial distress is a company that has difficulty paying its obligations, so it cannot carry out business as usual and may experience bankruptcy. This study aims to analyse the factors that influence the possibility of financial distress by considering financial ratios as indicators to predict the occurrence of financial distress in manufacturing companies in Indonesia. Four independent variables which are financial ratios include Current Ratio, Debt Ratio, Return on Assets (ROA), and Working Capital Turnover. In comparison, the dependent variable is financial distress. This study uses the Altman Z-score model and the data analysis method used is logistic regression analysis. Where logistic regression is one of the statistical analysis methods used to represent the relationship between independent variables and dependent variables containing nominal and ordinal data. The population used in this study includes manufacturing companies listed on the Indonesia Stock Exchange (IDX) in the 2015-2019 period. The sample was determined by the purposing sampling technique. The results showed that not all financial ratios can have a significant effect on the occurrence of Financial Distress. In the results that have been analysed, it is found that Current Ratio does not have a significant positive effect on Financial Distress, Debt Ratio does not have a significant effect on Financial Distress, Return on Assets (ROA) has a significant positive effect on Financial Distress, and the last financial ratio Working Capital Turnover has a significant negative effect on Financial Distress.
Comparison of Chain Ladder Method and Cape Cod Method in Reinsurance Incurred But Not Reported (IBNR) Reserve Estimation Pahlevi, Zievan Ananta; Sudding, Fauziah Nur Fahirah
Journal of Actuarial, Finance, and Risk Management Vol 3, No 2 (2024)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v3i2.5551

Abstract

In the era of globalization, there are a lot of risks that surround individuals and companies, including insurance companies. The necessity of risk management becomes important, and risk transfer through reinsurance is crucial in managing the company’s risk profile. As stated in the Otoritas Jasa Keuangan (OJK) Regulations Number 71 of 2016 Article 19 Paragraph (2), reinsurance companies are obliged to establish technical reserves, in which one of the components is Incurred But Not Reported (IBNR) reserve. Considering there is inconsistency from past studies and the importance of accurately calculating IBNR reserves. Therefore, this study aims to compare the results of IBNR reserves using the Chain Ladder method and the Cape Cod method. This study utilizes the Chain Ladder and Cape Cod models that are being applied in Microsoft Excel to calculate the IBNR reserves. The secondary data used in this study is the Paid & Reported Loss Triangle 2013-2022 from Munich Reinsurance’s Financial Results. The result of this study shows that the value of IBNR claim reserves generated using the Chain Ladder gives better accuracy, with a 12.8% relative error compared to the Cape Cod method’s 26.9%. Based on the assumptions made, the Chain Ladder model is suitable for portfolios that are just starting or have sufficient amounts of data. Meanwhile, the Cape Cod model is ideal for portfolios that have been operating for a long period.
Application of Projected Unit Credit Method (PUC) and Entry Age Normal (EAN) in Pension Fund Calculation Hidayat, Agus Sofian Eka; Maharani, Ni Kadek Gita; Hapsari, Nayla; Ajeng, Aprilia
Journal of Actuarial, Finance, and Risk Management Vol 4, No 1 (2025)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v4i1.5993

Abstract

This study explores the application of the Projected Unit Credit (PUC) and Entry Age Normal (EAN) methods in calculating normal cost and actuarial liability for pension funds. By comparing the two methods, the research aims to provide insights into their implications for pension fund management. The PUC method, which takes into account salary growth over time, typically results in increasing normal cost and smaller actuarial liability as the participant's service period lengthens. Conversely, the EAN method spreads the pension cost evenly over an employee's working years, leading to stable normal cost and higher actuarial liability, particularly in the mid-period of membership. The study utilizes data from PT. XYZ, applying both methods separately for male and female participants due to differences in life expectancy. The results offer a comparative analysis that highlights the financial implications of each method for both participants and pension fund companies, contributing to more effective pension fund management strategies.
Premium Reserves Calculation on Whole Life Insurance Using The Fackler Method Jabbarudin, Akbar; Sudding, Fauziah Nur Fahirah
Journal of Actuarial, Finance, and Risk Management Vol 4, No 1 (2025)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v4i1.6247

Abstract

Everyone has a risk of death and as they get older, the risk of death will increase. Therefore, everyone suggested to have insurance. Not only for individual, the risk is also faced with insurance provider. There are several categories of life insurance. One of the category is whole life insurance. Whole life insurance has benefitfor lifetime of the insured. The insurance provider will pay beneficiaries when the policyholder dies within any years. There are two major methods of calculating premium reserve which are prospective and retrospective method. The Fackler method adapting the concept of retrospective method. The assumptions of the Fackler method that final reserve value is determined as the reserve at the end of the next year. Considering the long-term impact, this study conducted premium reserves calculation on whole life insurance using the Fackler method. This study use “Tabel Mortalitas Penduduk Indonesia 2023” from BPJS Kesehatan as Mortality Data and 5.75% as interest rate from BI-Rate. The result of this study shows that the amount of premium reserves reaches the promised benefit at the age of 67 years old for male and 70 years old for female. Life expectancy in Indonesia is 73 years old for male and 78 years old for female. Based on the result, the Fackler method success reaches the promised benefit below life expectancy Indonesia.
Application of ARIMA Modeling to forecast the WeeklyStock Price per Share of (Persero) PT Telekomunikasi Indonesia Tbk Mihardja, Jocelyn Beatrice
Journal of Actuarial, Finance, and Risk Management Vol 4, No 1 (2025)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v4i1.6246

Abstract

This research is aimed to forecast the weekly stock price of PT Telkom using the ARIMA modeling approach. The dataset used in this study spanned from May 02, 2022 to January 30, 2023. The ARIMA(3,2,1) model was found to be the best fit for the data. The model's formula was Yt=-0.7692 Yt-1-7409 Yt-2-0.5175 Yt-3+et-0.2444 et-1, where Yt represents the stock price at time t and et represents the residual error at time t. This model was used to predict the stock price for the next 8 weeks. The accuracy of the chosen model is 85005.53, 0.0899, 353.67, and 8.99% respectively to MSE, RMSE, MAE, and MAPE. The forecasted results showed a gradual upward trend in the stock price with some fluctuations, indicating a positive outlook for PT Telkom in the coming weeks.
Pricing Asian Options on BBCA Stocks: A Binomial and Black-Scholes Approach Antoro, Srava Chrisdes; Irsan, Maria Yus Trinity
Journal of Actuarial, Finance, and Risk Management Vol 4, No 1 (2025)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v4i1.6241

Abstract

This paper aims to evaluate the pricing of Asian options using two widely recognized methods: the Binomial Option Pricing Model and the Black-Scholes Model. Asian options are a form of exotic options where the payoff depends on the average price of the underlying asset over a specified period, reducing the impact of market volatility compared to standard European or American options. The research focuses on BBCA (Bank Central Asia) stock data over a two-month period from September to November 2024. The study uses the arithmetic average for the binomial model and the geometric average for the Black-Scholes model. Essential financial parameters such as risk-free interest rate, volatility, and strike prices are determined based on real market data and standard assumptions. The binomial model offers a numerical approach through discrete time intervals, while the Black-Scholes model provides a closed-form analytical solution. Results show that the call option prices from the binomial and Black-Scholes models are 1,228.79 and 1,272.02 respectively, with a Mean Absolute Percentage Error (MAPE) of 3.52%. For the put options, the binomial and Black-Scholes prices are 1,754.46 and 1,711.21, respectively, with a MAPE of 2.46%. These low error rates suggest that both models can accurately estimate Asian option values. The study concludes that both the binomial and Black-Scholes models are effective tools for pricing Asian options on BBCA stock, offering comparable results with minimal deviation. This finding supports the use of these models in financial decision-making for exotic options in the Indonesian market
Forecasting UNTR Weekly Stock Price using ARFIMA Singgih, Gabriella Maria; Hamzah, Dadang Amir
Journal of Actuarial, Finance, and Risk Management Vol 4, No 1 (2025)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v4i1.6284

Abstract

Predicting stock prices plays a pivotal role in the decision-making processes of organizations and individual investors. This research focuses on the predicting weekly closing stock prices, specifically for UNTR, using the ARFIMA method. The ARFIMA method shows promise in handling long-memory data, but its effectiveness in predicting UNTR's stock prices requires thorough examination to ensure its applicability and reliability. The aim of this study is to predict the weekly closing prices of UNTR stocks using the ARFIMA method. The training data used spans from January 1, 2020, to December 31, 2022, with the objective of predicting the period from January 1, 2023, to February 28, 2023. The result shows that the ARFIMA (10; 0.4993; 3) model was selected due to its optimal performance, having the lowest RMSE and MAPE values, specifically an RMSE of 0.4 and a MAPE of 4.16%. This model successfully captures the long-term memory patterns in the data, generating accurate predictions for the projected period. 

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