PENENTUAN CADANGAN PREMI ASURANSI JIWA DENGAN SOJOURN BENEFIT PADA MODEL MULTISTATE

Abstract

Life insurance business is a one of sector business which provide of risk mitigation services in the event of death or other payment to the insured. Life insurance companies must determine the reserves to ensured the sum insured when  claim occurred. The reserves determination should consider the additional benefits that implicate to the probability of state changing will be happen to insured. Multistate model (Markov process) requiring to illustrates those possibilities because the time of change isn’t known certainty and company can only predict when will the state changing with considered the previous state.

Calculation of reserves with multistate models (Markov processes) can be obtained through Thiele differential equations which will result an explicit solution of premium reserves. The additional benefit of a sojourn benefit that causes the company to take into account the cost of managing the premium reserves will affect the Thiele differential equation that formed so that the Cantelli theorem can applies. Cantelli's theorem shows that premium reserves on insurance contracts influenced by sojourn benefits such as the capital management charges can be calculated using the explicit formula of the Thiele differential equation. This research obtained a premium reserve valu for a case with rate of transition at Norberg (1995).