Estella, Stefanie (2021) Pembentukan longevity bond dengan model mortalita Renshaw dan Haberman pada populasi Singapura = Construction of longevity bond with Renshaw and Haberman mortality model in Singapore population. Bachelor thesis, Universitas Pelita Harapan.
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Abstract
Usia harapan hidup terus meningkat di Singapura. Ketidakpastian pada tingkat mortalita dan usia harapan hidup di masa yang akan datang merupakan masalah yang serius karena banyaknya liabilitas perusahaan dana pensiun yang terpapar oleh longevity risk. Longevity bonds dapat digunakan untuk membatasi paparan terhadap longevity risk. Skripsi ini mencari harga longevity bond yang dibentuk dengan dua metode. Metode pertama yaitu metode gabungan antara longevity zeros dan longevity swap serta metode kedua yaitu metode gabungan antara longevity zeros dan forward contracts. Diperoleh bahwa harga longevity bond dengan kedua metode sama. Dari tahun 2000 hingga 2020, harga longevity bond naik sebesar 42.2%. Skripsi ini juga melakukan simulasi sensitivitas harga longevity bond untuk mengetahui dampak perubahan probabilitas bertahan hidup terhadap harga longevity bond yang semula, dan kemudian diperoleh rentang harga longevity bond yang baru untuk tahun 2000 dan 2020. Pembentukan longevity bond dengan kedua metode mempunyai kelebihan dan kekurangannya masing-masing, maka pemilihan metode dapat disesuaikan dengan keadaan. Proyeksi tingkat mortalita yang akurat dibutuhkan dalam perhitungan harga longevity bond. Skripsi ini juga mencari model mortalita stokastik generalized age-period-cohort terbaik untuk memproyeksikan tingkat mortalita penduduk di Singapura. Diperoleh bahwa model Renshaw dan Haberman adalah model yang paling sesuai berdasarkan analisis goodness-of-fit./Life expectancy continues to increase in Singapore. Uncertainty regarding future mortality and life expectancy outcomes is a serious problem because large amount of liabilities of pension fund companies are exposed to longevity risk. Longevity bonds can be used to limit exposure to longevity risk. This paper calculate the price of longevity bonds which are constructed by two methods. The first method is the combination of longevity zeros and a longevity swap and the second method combines longevity zeros with a series of forward contracts. It is found that the price of longevity bonds with both methods are the same. From 2000 to 2020, the price of longevity bond increased by 42.2%. The construction of longevity bond with both methods have its own advantages and disadvantages, so the choice of method can be adjusted according to circumstances. This paper also simulate the sensitivity of longevity bond prices to see the impact of changes in the probability of survival rate on the original longevity bond price, and then obtains a new longevity bond price prediction interval. Accurate mortality forecasts are required in calculating the price of longevity bond. This paper also examine the best stochastic mortality generalized age-period-cohort model to project population mortality rates in Singapore. It was found that Renshaw and Haberman model is the most suitable model based on goodness-of-fit analysis.
Item Type: | Thesis (Bachelor) | ||||||||||||
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Uncontrolled Keywords: | longevity risk; longevity bond; longevity zeros; forward contracts; longevity swap; model mortalita stokastik generalized age-period-cohort; sensitivitas harga longevity bond | ||||||||||||
Subjects: | Q Science > QA Mathematics | ||||||||||||
Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics |
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Depositing User: | Users 5988 not found. | ||||||||||||
Date Deposited: | 26 Jul 2021 02:30 | ||||||||||||
Last Modified: | 26 Jul 2021 02:30 | ||||||||||||
URI: | http://repository.uph.edu/id/eprint/40763 |
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