Penerapan Model Harga Opsi Black Scholes dalam Penentuan Premi Asuransi Jiwa Dwiguna Unit Link

Abstract

Unit-linked life insurance is one of the most popular insurance products. This product connects the element of protection with investment assets in a product. Regarding option pricing, the Black Scholes model is one method that can be used. The advantage of this model is that it is a call option valuation model and is in great demand among financial associations because the option rate obtained from the calculation of this model is an accurate value. This research aims to determine the premium value of unit-linked endowment life insurance by applying the Black Scholes option pricing model. This research begins by selecting the stocks used and completing the information needed, including the insured's age, gender, insurance period, and life expectancy based on TMI in 2011. The return value and stock volatility can be calculated based on the stock data used. Furthermore, applying the Black Scholes option pricing model on customer data with male gender, age 25 years, a selected interest rate of 5.75%, and an insurance period of 5 years obtained a unit link insurance premium value of Rp123,058,412. The results showed that the Black Scholes option price model is determined by stock prices, interest rates, insurance periods, and volatility. When the longer period of insurance taken causes the premium value to be higher, and for different ages, with increasing age, the value of premiums paid will also increase.