Perbandingan longevity bond dengan metode dekomposisi dan metode gabungan antara forward contracts dan longevity zeros pada program dana pensiun swasta di Indonesia = Comparing longevity bond through decomposition method and through forward contracts and longevity zeros method within private pension fund program in Indonesia

Josephine, Josephine (2020) Perbandingan longevity bond dengan metode dekomposisi dan metode gabungan antara forward contracts dan longevity zeros pada program dana pensiun swasta di Indonesia = Comparing longevity bond through decomposition method and through forward contracts and longevity zeros method within private pension fund program in Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Dana pensiun adalah bagian penting dari sebuah negara. Diperlukan perencanaan yang baik untuk memastikan bahwa lansia akan memiliki dana pensiun yang cukup untuk memenuhi kebutuhan hari tua. Kemajuan teknologi dalam sektor medis serta gaya hidup yang lebih sehat membuat manusia cenderung hidup lebih lama daripada yang diperkirakan. Peningkatan usia harapan hidup dapat menurunkan kualitas hidup lansia karena dana pensiun dapat habis sebelum meninggal. Longevity bond adalah sebuah instrumen keuangan dengan pembayaran kupon bergantung pada persentase dari lansia yang masih hidup pada tanggal pembayaran kupon di masa depan. Dengan kata lain, jumlah kupon longevity bond bergantung kepada probabilitas bertahan hidup lansia. Penelitian ini mencari harga longevity bond dengan dua metode, yaitu metode dekomposisi serta metode gabungan antara forward contracts dan longevity zeros. Untuk meminimalkan risiko dari longevity bond, investor dapat menerbitkan inverse longevity bond. Penelitian ini juga mencari harga inverse longevity bond yang dibuat dengan kedua metode. Penelitian ini juga melakukan simulasi untuk mengetahui dampak perubahan probabilitas bertahan hidup terhadap harga longevity bond dan inverse longevity bond serta rentang probabilitas bertahan hidup dimana investor tidak akan mengalami kerugian. Dari tahun 2000 hingga 2020, harga longevity bond dengan kedua metode naik sekitar 34%. Selanjutnya untuk tahun 2020, harga longevity bond dengan metode dekomposisi 6.71% lebih mahal. Terakhir, diperoleh metode gabungan antara forward contracts dan longevity zeros lebih stabil dan dapat menangani risiko umur panjang dengan lebih baik. Oleh karena itu, pembuatan longevity bond untuk program dana pensiun swasta di Indonesia lebih sesuai dengan metode gabungan antara forward contracts dan longevity zeros. / One of the key aspects of a country is pension fund. Meticulous and effective planning is needed to ensure that pensioner will receive sufficient pension fund for their needs. However, as a result of advanced technologies in health care as well as healthier lifestyle, people tend to live longer than anticipated. The increase in life expectancy may deteriorate the quality of life a pensioner has since pension fund may be exhausted before pensioner dies. Longevity bond is a financial instrument where future coupons depend on the percentage of the population of retirement age on the issue date who are still alive on the future coupon payment dates. In other words, the coupons of a longevity bond depend on survival rate of pensioner. This research will examine the price of a longevity bond created through two methods, decomposition and combining longevity zeros with a series of forward contracts. To minimize the risk of a longevity bond, investor could issue an inverse longevity bond. This study also asses the price of an inverse longevity bond throughout both methods. This research will also simulate how survival rate affects the price of longevity bond and inverse longevity bond as well as how much survival rate could change and no loss would be suffered. From the year 2000 to 2020, the price of longevity bond with both methods increase around 34%. For the year 2020, the price of longevity bond created through decomposition is 6.71% more expensive. Lastly, combining longevity zeros with a series of forward contracts is a more stable method and could handle unexpected increase and decrease of life expectancy better. In conclusion, engineering a longevity bond through forward contracts and longevity zeros is a better method for a private pension fund cooperation in Indonesia.

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