{"title":"利用布莱克-斯科尔斯-默顿模型确定保险费，以降低因供应商失败而造成公司损失的风险","authors":"Jessica Novia Sitepu, B. Subartini, Sukono Sukono","doi":"10.46336/ijqrm.v4i4.447","DOIUrl":null,"url":null,"abstract":"The Micro and Small Enterprises (MSMEs) sector in Indonesia has made a significant contribution to the Indonesian economy. However, MSMEs in Indonesia face various challenges that may occur in the future, for example, supplier failure. Therefore, it is essential to determine the right form of risk mitigation to reduce the impact of supplier failure for MSMEs, and one such approach is to have insurance. This study aims to calculate the premium price using the Black-Scholes-Merton model approach. The data used is the aggregate losses experienced by MSMEs fostered partners of PT Wijaya Karya (Persero) Tbk. Data simulation was generated on lognormal distribution to determine the premium price. The application of the Black-Scholes-Merton model on the calculations showed that MSMEs have to pay a premium of IDR 4.165.061 for one year.","PeriodicalId":14309,"journal":{"name":"International Journal of Quantitative Research and Modeling","volume":" 27","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2023-12-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Determination of Insurance Premiums to Mitigate the Risk of Company Losses Due to Supplier Failure Using Black-Scholes-Merton Model\",\"authors\":\"Jessica Novia Sitepu, B. Subartini, Sukono Sukono\",\"doi\":\"10.46336/ijqrm.v4i4.447\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Micro and Small Enterprises (MSMEs) sector in Indonesia has made a significant contribution to the Indonesian economy. However, MSMEs in Indonesia face various challenges that may occur in the future, for example, supplier failure. Therefore, it is essential to determine the right form of risk mitigation to reduce the impact of supplier failure for MSMEs, and one such approach is to have insurance. This study aims to calculate the premium price using the Black-Scholes-Merton model approach. The data used is the aggregate losses experienced by MSMEs fostered partners of PT Wijaya Karya (Persero) Tbk. Data simulation was generated on lognormal distribution to determine the premium price. The application of the Black-Scholes-Merton model on the calculations showed that MSMEs have to pay a premium of IDR 4.165.061 for one year.\",\"PeriodicalId\":14309,\"journal\":{\"name\":\"International Journal of Quantitative Research and Modeling\",\"volume\":\" 27\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-12-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Quantitative Research and Modeling\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.46336/ijqrm.v4i4.447\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Quantitative Research and Modeling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.46336/ijqrm.v4i4.447","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Determination of Insurance Premiums to Mitigate the Risk of Company Losses Due to Supplier Failure Using Black-Scholes-Merton Model
The Micro and Small Enterprises (MSMEs) sector in Indonesia has made a significant contribution to the Indonesian economy. However, MSMEs in Indonesia face various challenges that may occur in the future, for example, supplier failure. Therefore, it is essential to determine the right form of risk mitigation to reduce the impact of supplier failure for MSMEs, and one such approach is to have insurance. This study aims to calculate the premium price using the Black-Scholes-Merton model approach. The data used is the aggregate losses experienced by MSMEs fostered partners of PT Wijaya Karya (Persero) Tbk. Data simulation was generated on lognormal distribution to determine the premium price. The application of the Black-Scholes-Merton model on the calculations showed that MSMEs have to pay a premium of IDR 4.165.061 for one year.
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