PENENTUAN PREMI TAHUNAN POLIS PARTISIPASI ASURANSI JIWA ENDOWMENT DENGAN OPSI SURRENDER
Premium paid by policyholders should be invested by insurance company to maintain the company. Related to the invested premiums, insurance company offers a contract to policyholders called life insurance participating policy. In this contract, at the end of each policy year, the insurance company...
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| 主要作者: | |
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| 格式: | Theses and Dissertations NonPeerReviewed |
| 出版: |
[Yogyakarta] : Universitas Gadjah Mada
2015
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| 主題: | |
| 在線閱讀: | https://repository.ugm.ac.id/134559/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=77335 |
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| 機構: | Universitas Gadjah Mada |
| 總結: | Premium paid by policyholders should be invested by insurance company to
maintain the company. Related to the invested premiums, insurance company
offers a contract to policyholders called life insurance participating policy. In this
contract, at the end of each policy year, the insurance company grants a
bonus, which is credited to the mathematical reserves and depends on the
performance of reference portfolio. However, to make it more interesting, the
insurance company can put additional feature in the contract which allows
policyholders to giveup the contract. This contract is called life insurance
participating policies with surrender option. The pricing of life insurance
participating policies with surrender option is affected by the value of reference
portfolio. In this research, we assume the rate of return of the reference portfolio
would follow a regime switching lognormal model. This thesis describes about
determination of bonus rate under regime switching model, and the annual
premiums of endowment life insurance participating policies with surrender
option.
Keywords: Life Insurance, Participating Policy, Surrender Option, Regime
Switching Lognormal Model, EM Algorithm |
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