PENGARUH KURS VALUTA ASING DAN ASUMSI SUKU BUNGA COX INGERSOLL ROSS UNTUK PERHITUNGAN ASET DANA PENSIUN

SYUNIKITTA, MIRWANTI and Resti, Yulia and Kresnawati, Endang Sri (2019) PENGARUH KURS VALUTA ASING DAN ASUMSI SUKU BUNGA COX INGERSOLL ROSS UNTUK PERHITUNGAN ASET DANA PENSIUN. Undergraduate thesis, Sriwijaya University.

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Abstract

The purpose of this research is to see whether the influence of foreign exchange rates on the calculation of pension funds. The method used in the study is the Projected Unit Credit (PBC) method consisting of the Entry Age Normal (EAN) method and the Attained Age Normal (AAN) method. The interest rate used is Cox Ingersoll Ross stochastic interest rate, which is worth 7.37%, where the CIR rate compares to its value with CIR interest rates that are not influenced by foreign exchange rates which is worth 7.54%, Bank interest rates Foreign exchange rates which is worth 6.05%, and Bank Indonesia interest rates that are not influenced by foreign exchange rates which is worth 6.39%. Based on the calculation result, CIR and Bank Indonesia interest rates are influenced by the foreign exchange rate to provide the result of normal dues and greater actuarial liabilities than the result of normal dues and actuarial obligations with the interest rate of CIR and the Bank Not influenced by foreign exchange rates. The results of normal contributions and actuarial liabilities using the EAN and AAN methods give results for the AAN method greater than the results for the EAN method to pay normal contributions and actuarial liabilities. Based on the calculation of the asset can be concluded if the actuarial interest rate is greater than the expectation of the interest rate then the value of the asset will suffer losses resulting in additional contributions. Conversely, if the actuarial interest rate is smaller than the expectation interest rate then the value of the asset will benefit.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Keywords: Foreign exchange rate, EAN, AAN, Cox Ingersoll Ross
Subjects:	H Social Sciences > HB Economic Theory > HB135-147 Mathematical economics. Quantitative methods Including econometrics, input-output analysis, game theory Q Science > QA Mathematics > QA1-939 Mathematics
Divisions:	08-Faculty of Mathematics and Natural Science > 44201-Mathematics (S1)
Depositing User:	Users 709 not found.
Date Deposited:	20 Aug 2019 06:55
Last Modified:	20 Aug 2019 06:55
URI:	http://repository.unsri.ac.id/id/eprint/4574

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