Penentuan harga guaranteed annuity option di Indonesia menggunakan hull-white interest rate model

Claudia, Stefanie (2022) Penentuan harga guaranteed annuity option di Indonesia menggunakan hull-white interest rate model. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Kestabilan finansial merupakan hal yang menjadi idaman banyak orang. Seiring dengan meningkatnya usia harapan hidup, dana yang diperlukan untuk membiayai kehidupan sehari-hari juga meningkat. Risiko turunnya suku bunga jangka panjang juga dapat mengganggu kestabilan imbal hasil terhadap aset yang dimiliki di masa depan. Maka, penelitian ini memberikan salah satu cara untuk mengatasi masalah tersebut, yakni dengan memperkenalkan produk guaranteed annuity option (GAO). GAO adalah sebuah opsi yang memberikan jaminan untuk menukarkan akumulasi dana polis saat jatuh tempo menjadi sebuah anuitas jiwa dengan suku yang tetap atau yang sering disebut sebagai guaranteed conversion rate. Penentuan harga opsi dilakukan menggunakan Hull-White interest rate model. Tabel mortalita yang digunakan adalah hasil prediksi mortalita dengan model Lee-Carter dan Renshaw and Haberman untuk melihat perbandingan hasil harga opsi. Dengan memakai tabel mortalita yang sudah memperhitungkan mortality improvement, diharapkan penelitian dapat menghasilkan harga opsi yang lebih mencerminkan situasi di kehidupan nyata. Hasil penelitian menunjukkan bahwa harga guaranteed annuity option di Indonesia berada di kisaran 1,56 - 2,58 untuk setiap nilai nominal tetap 100. Harga opsi untuk wanita lebih tinggi bila dibandingkan dengan pria dan harga opsi menggunakan model prediksi mortalita Lee-Carter lebih tinggi bila dibandingkan dengan model Renshaw and Haberman./Financial stability is the dream of the majority of people. However, as life expectancy increases, the funds needed to finance daily lives also increases. In addition, the risk of falling long-term interest rates may destabilize return on assets held in the future. Hence, this study presents one way to overcome these problems, namely by introducing guaranteed annuity option. Guaranteed annuity option is a type of option that provides a guarantee to convert the accumulated policy funds at maturity into a life annuity using a fixed rate, that is, guaranteed conversion rate. Option pricing is determined using the Hull-White interest rate model. Predicted mortality using Lee-Carter and Renshaw and Haberman models are used to compare option prices. Taking into account individual’s mortality improvement is expected to produce option prices that better reflect real world situations. The results obtained show that the price of guaranteed annuity option in Indonesia is in the range of 1.56 - 2.58 for every fixed face value of 100. Option prices for female are higher compared to male’s and using Lee-Carter model produces higher option prices compared to Renshaw and Haberman’s.

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