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COMPARISON OF PROJECTED UNIT CREDIT AND ENTRY AGE NORMAL METHODS IN PENSION FUND VASICEK AND COX-INGERSOLL-ROSS MODELS

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 17 No. 4 (2023) · pp. 2421–2432

DOI
10.30598/barekengvol17iss4pp2421-2432
ISSN
2615-3017, 1978-7227
Published
2023-12-19
Publisher
PATTIMURA UNIVERSITY
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

The pension program is one of the pension fund's efforts to anticipate the risks that will be experienced by participants in old age. Actuarial calculations help to determine the benefits that participants will receive by considering life chances, interest rates, age when becoming a participant, and normal retirement age. This study aims to determine normal contributions and actuarial liabilities with the Projected Unit Credit and Entry Age Normal methods using stochastic interest rates, namely Vasicek and Cox-Ingersoll-Ross (CIR). The data used in this study are civil servants who work at the Natural Resources Management Office, Bulukumba Regency. The results of the calculation analysis showed that normal cost using the Projected Unit Credit (PUC) method with the Vasicek and Cox-Ingersoll-Ross (CIR) model interest rates increased as the length of service increased, and at the end of the working period the Cox-Ingersoll-Ross (CIR) model interest rate reached Rp14.773.176,- which was higher than Vasicek by Rp3.849.898,-. The results of the calculation of normal cost using the Entry Age Normal (EAN) method with the Vasicek model increase in the period 0-20 years of service, then decrease towards the contribution value at the beginning of the service period of Rp1.499.725,-. At the beginning of the working year, the normal cost using the Entry Age Normal method with the Cox-Ingersoll-Ross (CIR) model interest rate is Rp7.581.593,- then decreases for 24 years of service to Rp5.849.854,- after which it increases again towards the initial contribution value of the working year. The results of the calculation of actuarial liabilities show an increase as the length of service increases, for the Entry Age Normal (EAN) and Projected Unit Credit (PUC) methods with the Cox-Ingersoll-Ross (CIR) interest rate model at the end of the service period, it is found that both are the same value, namely Rp443.195.285,-. By using the Vasicek interest rate model for both methods, the same result is obtained at the end of the service period of Rp115.496.951,-. This shows that the actuarial liabilities for both methods used are affected by interest rates, and the Cox-Ingersoll-Ross (CIR) model is higher than Vasicek

Collaboration network of the authors

35 authors · 76 co-authorship links

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  • State University of Makassar
  • Affiliation unknown
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  • Same organisation
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Co-authorOrganisationJoint articles
Kasbawati KasbawatiAffiliation unknown13
Khaeruddin KhaeruddinState University of Makassar3
Hukmah HukmahAffiliation unknown3
Jeffry KusumaAffiliation unknown2
Muhammad Rifki NisardiAffiliation unknown2
Ni Luh Putu SuciptawatiAffiliation unknown2
Suriani SurianiAffiliation unknown2
I Putu Winada GautamaAffiliation unknown1
Sulfayanti SulfayantiAffiliation unknown1
Syamsul AgusAffiliation unknown1
Mawardi BahriAffiliation unknown1
IIN SUTRISNAAffiliation unknown1
Asriadi NasrunAffiliation unknown1
Yusrianto YusriantoAffiliation unknown1
Himmatul Ulya FebriyantiAffiliation unknown1
Lilis Dwi Sapta AprilyaniAffiliation unknown1
A. Muh. Amil SiddikAffiliation unknown1
Andi Muhammad AnwarAffiliation unknown1
Syamsir MuarafAffiliation unknown1
Nita AnggrianiAffiliation unknown1
Andi Utari SamsirAffiliation unknown1
Ismi Ra'yan SyarifAffiliation unknown1
Mutmainnah SyamsulAffiliation unknown1
Rabiatul AdawiyahAffiliation unknown1
Suriani MAffiliation unknown1
Harianto HariantoAffiliation unknown1
Dian FirmayasariAffiliation unknown1
Sitti SahrimanAffiliation unknown1
Anisa KalondengAffiliation unknown1
M. Zaky Hisyam GozhiAffiliation unknown1
Aidul Fitri MustaminAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://ojs3.unpatti.ac.id/index.php/barekeng/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<dc:title xml:lang="en-US">COMPARISON OF PROJECTED UNIT CREDIT AND ENTRY AGE NORMAL METHODS IN PENSION FUND VASICEK AND COX-INGERSOLL-ROSS MODELS</dc:title>
	<dc:creator>Sulma, Sulma</dc:creator>
	<dc:creator>Widana, I Nyoman</dc:creator>
	<dc:creator>Toaha, Syamsuddin</dc:creator>
	<dc:creator>Fitria, Ita</dc:creator>
	<dc:description xml:lang="en-US">The pension program is one of the pension fund's efforts to anticipate the risks that will be experienced by participants in old age. Actuarial calculations help to determine the benefits that participants will receive by considering life chances, interest rates, age when becoming a participant, and normal retirement age. This study aims to determine normal contributions and actuarial liabilities with the Projected Unit Credit and Entry Age Normal methods using stochastic interest rates, namely Vasicek and Cox-Ingersoll-Ross (CIR). The data used in this study are civil servants who work at the Natural Resources Management Office, Bulukumba Regency. The results of the calculation analysis showed that normal cost using the Projected Unit Credit (PUC) method with the Vasicek and Cox-Ingersoll-Ross (CIR) model interest rates increased as the length of service increased, and at the end of the working period the Cox-Ingersoll-Ross (CIR) model interest rate reached Rp14.773.176,- which was higher than Vasicek by Rp3.849.898,-. The results of the calculation of normal cost using the Entry Age Normal (EAN) method with the Vasicek model increase in the period 0-20 years of service, then decrease towards the contribution value at the beginning of the service period of Rp1.499.725,-. At the beginning of the working year, the normal cost using the Entry Age Normal method with the Cox-Ingersoll-Ross (CIR) model interest rate is Rp7.581.593,- then decreases for 24 years of service to Rp5.849.854,- after which it increases again towards the initial contribution value of the working year. The results of the calculation of actuarial liabilities show an increase as the length of service increases, for the Entry Age Normal (EAN) and Projected Unit Credit (PUC) methods with the Cox-Ingersoll-Ross (CIR) interest rate model at the end of the service period, it is found that both are the same value, namely Rp443.195.285,-. By using the Vasicek interest rate model for both methods, the same result is obtained at the end of the service period of Rp115.496.951,-. This shows that the actuarial liabilities for both methods used are affected by interest rates, and the Cox-Ingersoll-Ross (CIR) model is higher than Vasicek
&amp;nbsp;</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2023-12-19</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/10361</dc:identifier>
	<dc:identifier>10.30598/barekengvol17iss4pp2421-2432</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 17 No 4 (2023): BAREKENG: Journal of Mathematics and Its Applications; 2421-2432</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol17iss4year2023</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/10361/7223</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2023 Sulma Sulma, I Nyoman Widana, Syamsuddin Toaha, Ita Fitria</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>