Komposisi produk optimal dengan melakukan natural hedging terhadap risiko tingkat mortalita di indonesia dengan pendekatan teori strategi imunisasi = an optimal product composition by using natural hedging against the longevity risk in indonesia with the immunization strategy theory approach

Florencia, Cathlyn (2021) Komposisi produk optimal dengan melakukan natural hedging terhadap risiko tingkat mortalita di indonesia dengan pendekatan teori strategi imunisasi = an optimal product composition by using natural hedging against the longevity risk in indonesia with the immunization strategy theory approach. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Longevity risk merupakan masalah utama yang dihadapi oleh perusahaan asuransi dalam mengatur aset dan kewajiban dalam pembayaran manfaat asuransi. Pada penelitian ini strategi natural hedging digunakan untuk menjaga kewajiban pembayaran manfaat dengan pendekatan teori Reddington Immunization. Strategi tersebut merupakan strategi untuk mencari komposisi produk yang optimal antara asuransi jiwa dan dana pensiun yang dapat digunakan oleh perusahaan dalam menjaga susunan portofolionya. Strategi ini akan dapat berjalan sempurna apabil tingkat mortalita di masa depan sudah diketahui namun hal tersebut tidak dapat didapatkan secara pasti sehingga dibutuhkan adanya proyeksi tingkat mortalita. Proyeksi tingkat mortalita diharapkan tidak terlalu jauh dengan apa yang sebenarnya akan terjadi sehingga pada penelitian ini digunakan model Lee-Carter dan Renshaw dan Haberman sebagai model tanpa cohort effect dan dengan cohort effect terbaik yang dapat merepresentasikan data tingkat mortalita pria dan wanita di Indonesia dari tahun 1950 sampai 2019 untuk memodelkan perubahan tingkat mortalita di masa depan. Adanya longevity risk berpengaruh pada besarnya jumlah unit polis asuransi jiwa yang diperlukan untuk dapat mencukupi kewajiban pembayaran manfaat untuk satu unit produk dana pensiun yang terjual. Hasil penelitian menunjukkan bahwa dengan mempertahankan proporsi kewajiban pembayaran manfaat dan komposisi produk optimal antara kedua produk yang didapatkan melalui strategi natural hedging dapat meminimalisir longevity risk yang dihadapi oleh perusahaan. / Longevity risk is a major problem faced by insurance companies in managing assets and liabilities in the payment of insurance benefits. In this study, the natural hedging strategy is used to maintain its liabilities on payment of benefits with the Reddington Immunization theory approach. This strategy finds the optimal product composition between life insurance and pension funds that can be used by companies in maintaining its portfolio composition. This strategy will work perfectly if future mortality rates are known but in reality, it cannot be obtained with certainty so that a projection of future mortality rate is needed. The projection of the mortality rate is expected not too far from what it is actually will happen so that in this study, the Lee-Carter and Renshaw and Haberman are chosen as the best model without cohort effect and with cohort effect that represent the mortality rate data for men and women in Indonesia from 1950 to 2019 to model changes in future mortality rates. The longevity risk affects the number of life insurance policy unit needed to fulfill obligations payment of benefits for one unit of the pension fund product sold. The result shows that by maintaining the proportion of obligations payment of benefits and optimal product composition between the two products obtained through natural hedging strategy can minimize the longevity risk faced by the insurance company.

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