MODEL CIR UNTUK MENENTUKAN TINGKAT BUNGA STOCHASTIK DALAM ASURANSI JIWA BERJANGKA

Abstract

Insurance is an agreement which has been agreed between the insurer (insurance company) with the insured (person who buys insurance services), which in that agreement the insured must pay some money in a certain period, it is called the premium. Life insurance premiums depend on the opportunities of living and interest rates that represent the dynamics of financial markets. Interest rates in this insurance, it is assumed to follow stochastik model, where the interest rate is used model Cox-Ingersoll-Ross (CIR). To determine the value of annuities and insurance is derived through a procedure zero coupon bond prices by using Ito's lemma, which would then be used to determine premiums. Simulation of the determination of premiums on term life insurance premium rates show fluctuations depending on variable the long run average of interest rate, the speed of adjustments of interest rate to its long-run mean, and volatility. If value of the long run average of interest rate and the speed of adjustments of interest rate to its long-run mean is lower then the premium is the higher. While for the increase in volatility is also followed by the increase in premiums. The variables that most influence on the amount of premiums that is volatility.