Open AccessPERBANDINGAN HASIL PERHITUNGAN PREMI ASURANSI JIWA ENDOWMENT SUKU BUNGA VASICEK DENGAN DAN TANPA SIMULASI MONTE CARLO
Author(s) -
Desi Kurnia Sari,
I Nyoman Widana,
Kartika Sari
Publication year - 2017
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2017.v06.i01.p150
Subject(s) - monte carlo method , vasicek model , range (aeronautics) , confidence interval , interval (graph theory) , life insurance , interest rate , econometrics , mathematics , economics , statistics , engineering , actuarial science , finance , combinatorics , aerospace engineering
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%.