PERBANDINGAN HASIL PERHITUNGAN PREMI ASURANSI JIWA ENDOWMENT SUKU BUNGA VASICEK DENGAN DAN TANPA SIMULASI MONTE CARLO
Abstract: Vasicek is one of
the stochastic interest rate model that can capture interest rates movement.
The aim of this research was to get the comparison of the level premium for an
endowment life insurance under stochastic interest rate without and by using
Monte Carlo simulation. The result show that the level premium without Monte
Carlo simulation is not much different from the result of the level premium by
using Monte Carlo simulation. However, the premium calculation by using Monte Carlo simulation can also be
searched the range of losses and gains of the insurance company at certain confidence
interval. In this case using a confidence interval of 95%.
Penulis: DESI KURNIA SARI, I
NYOMAN WIDANA, KARTIKA SARI
Kode Jurnal: jpmatematikadd170164
