Determination of Joint Life Term Insurance Premium Reserves Using the Prospective Method Based on the Cox-Ingersoll-Ross (CIR) Stochastic Interest Rate Model

Sihotang, Prihatin; Yosmar, Siska; Damayanti, Septri

doi:10.20956/j.v22i3.48922

Open access Jurnal

Determination of Joint Life Term Insurance Premium Reserves Using the Prospective Method Based on the Cox-Ingersoll-Ross (CIR) Stochastic Interest Rate Model

Jurnal Matematika, Statistika dan Komputasi · Vol. 22 No. 3 (2026) · pp. 730–742

DOI: 10.20956/j.v22i3.48922
ISSN: 2614-8811, 1858-1382
Published: 2026-05-14
Publisher: Department of Mathematics, Hasanuddin University
Language: en
License: creativecommons.org/licenses/by/4.0

Abstract

Premium reserves are the minimum funds that insurance companies are required to set aside to guarantee the fulfillment of long-term contractual obligations to policyholders in the future. Good management of premium reserves is very important to maintain the financial stability of insurance companies. This study aims to determine the premium reserves for joint life term life insurance using a prospective method based on the CIR model stochastic interest rate. This study uses a literature review method, with calculations based on the 2019 Indonesian Mortality Table (TMI) and historical BI interest rate data for estimating CIR model parameters. The calculation results show that premium reserves tend to increase at the beginning of the period and decrease towards the end of the period. Compared to fixed interest rates, premium reserves using CIR model interest rates are higher in each period.

Keywords

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19 authors · 61 co-authorship links

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Hasanuddin University
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Co-author	Organisation	Joint articles
Nur Afandi	Hasanuddin University	6
Jose Rizal	Affiliation unknown	3
Zulfia Memi Mayasari	Affiliation unknown	2
Anggel Dwi Miranda	Affiliation unknown	2
Vivin Acnesya	Affiliation unknown	2
Nurul Hidayati	Affiliation unknown	2
Ratna Widayati	Affiliation unknown	2
Bunga Aulya Warrahma	Affiliation unknown	2
Lidya Savitri	Affiliation unknown	1
Meca Nerdika	Affiliation unknown	1
Fajri Ramadan	Affiliation unknown	1
Nova Asri Ramdhani	Affiliation unknown	1
Fachri Faisal	Affiliation unknown	1
Mulia Astuti	Affiliation unknown	1
Refpo Rahman	Affiliation unknown	1
Ramya Rachmawati	Affiliation unknown	1

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://journal.unhas.ac.id/index.php/jmsk/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.

Original metadata (oai_dc)

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	<dc:title xml:lang="en">Determination of Joint Life Term Insurance Premium Reserves Using the Prospective Method Based  on the Cox-Ingersoll-Ross (CIR) Stochastic  Interest Rate Model</dc:title>
	<dc:creator xml:lang="en">Sihotang, Prihatin</dc:creator>
	<dc:creator xml:lang="en">Yosmar, Siska</dc:creator>
	<dc:creator xml:lang="en">Damayanti, Septri</dc:creator>
	<dc:subject xml:lang="en">Joint Life Term Insurance</dc:subject>
	<dc:subject xml:lang="en">Premium Reserves</dc:subject>
	<dc:subject xml:lang="en">Cox-Ingersol-Ross (CIR)</dc:subject>
	<dc:subject xml:lang="en">Prospective Method</dc:subject>
	<dc:description xml:lang="en">Premium reserves are the minimum funds that insurance companies are required to set aside to guarantee the fulfillment of long-term contractual obligations to policyholders in the future. Good management of premium reserves is very important to maintain the financial stability of insurance companies. This study aims to determine the premium reserves for joint life term life insurance using a prospective method based on the CIR model stochastic interest rate. This study uses a literature review method, with calculations based on the 2019 Indonesian Mortality Table (TMI) and historical BI interest rate data for estimating CIR model parameters. The calculation results show that premium reserves tend to increase at the beginning of the period and decrease towards the end of the period. Compared to fixed interest rates, premium reserves using CIR model interest rates are higher in each period.</dc:description>
	<dc:publisher xml:lang="en">Department of Mathematics, Hasanuddin University</dc:publisher>
	<dc:date>2026-05-14</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
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	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.unhas.ac.id/index.php/jmsk/article/view/48922</dc:identifier>
	<dc:identifier>10.20956/j.v22i3.48922</dc:identifier>
	<dc:source xml:lang="en">Jurnal Matematika, Statistika dan Komputasi; Vol. 22 No. 3 (2026): May 2026; 730-742</dc:source>
	<dc:source>2614-8811</dc:source>
	<dc:source>1858-1382</dc:source>
	<dc:language>en</dc:language>
	<dc:relation>https://journal.unhas.ac.id/index.php/jmsk/article/view/48922/14423</dc:relation>
	<dc:rights xml:lang="en">Copyright (c) 2026 Jurnal Matematika, Statistika dan Komputasi</dc:rights>
	<dc:rights xml:lang="en">https://creativecommons.org/licenses/by/4.0</dc:rights>
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