CADANGAN ZILLMER BERDASARKAN DISTRIBUSI MAKEHAM DENGAN MENGGUNAKAN TINGKAT BUNGA MODEL RENDLEMAN-BARTTER
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Date
2017-01-10
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Abstract
This article discusses Zillmer’s reserve in term of life insurance by using
Rendleman-Bartter interest model. Interest rate model of Rendleman-Bartter is
a lognormally distributed equilibrium one factor interest rate model and is
expressed by stochastic differential equations that follow the Ito’s process. Interest
rate models of Rendleman-Bartter has parameters and to be estimated. To
determine the parameter estimations is used MLE (maximum likelihood estimation)
and then followed by a numerical approach using Newton-Raphson method. Then
Makeham distribution is used to evaluate the life annuity, single premium and
annual premium.
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Keywords
Zillmer’s reserve, term life insurance, Rendleman-Bartter interest model, Makeham distribution