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Modification of interest rate model based on compound poisson process and brownian motion affected by inflation rate

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Published under licence by IOP Publishing Ltd
, , Citation Faiqotul Himmah et al 2020 J. Phys.: Conf. Ser. 1490 012047 DOI 10.1088/1742-6596/1490/1/012047

1742-6596/1490/1/012047

Abstract

In actuarial science, interest rate model based on compound Poisson process and Brownian motion is proposed to determine actuarial present value. We used inflation rate in interest rate model to obtain the behavioural change of interest rate model under different parameters based on inflation rate data of Bank Indonesia. The interest rate model can be used to determine actuarial present value of term life insurance for discrete life annuities. To confirm the analytical result, some numerical simulations are presented.

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10.1088/1742-6596/1490/1/012047