CADANGAN PREMI PENSIUN METODE PROJECTED UNIT CREDIT DAN ASUMSI TINGKAT BUNGA HO LEE
No Thumbnail Available
Date
2016-04-27
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
This article discusses the prospective reserves with interest rate models of Ho-Lee for
pension premium reserve of Projected Unit Credit method. Interest rate models of Ho-
Lee is a normally distributed no-arbitrage interest rate model and is expressed by
stochastic differential equations that follows the Ito’s process. Interest rate models of
Ho-Lee has parameters to be estimated is k dan . To determine the parameter
estimations is used MLE (maximum likelihood estimation) for and Svensson models
for k and then followed by a numerical approach using Newton Raphson method.
Description
Keywords
Interest Rate Models of Ho-Lee, Projected Unit Credit Method, Prospective Reserves