Andi Fitriawati, Sapto Wahyu Indratno, Rr Kurnia Novita Sari
Unit-linked insurance offers multiple benefits, namely, insurance (protection) and investment. The premium of this insurance is invested in risky assets of αt and riskless assets of (1 − αt) that form a portfolio. Therefore, the performance of risky assets influences the portfolio value. In this case, BBRI stocks are used as risky assets. Furthermore, the portfolio is modeled using a dynamic constant proportion portfolio insurance strategy with a dynamic risk multiplier of mt. The risk multiplier is adjusted for the movement of stock prices. If the stock price rises, the risk multiplier increases. Consensually, the proportion of risky assets also increases, which aims to optimize the portfolio value. Meanwhile, if the stock price falls, the risk multiplier decreases. Consensually, the proportion of risky assets also decreases, which aim to minimize risk. However, a cost is charged when the proportion of risky assets is adjusted. Making frequent adjustments to risky assets may result in greater costs that need to be paid. This may affect the final portfolio value. Furthermore, an analysis is conducted on the effect of frequent adjustments to risky assets on portfolio value. Risky asset adjustments on daily, weekly, and monthly schedules. This result indicates that frequent adjustments to risky assets affect the portfolio value. © The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd. 2024.
Doctoral Program of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Jawa Barat, Bandung, Indonesia; Department of Mathematics, Faculty of Mathematics and Natural Sciences, Institut Teknologi Bandung, Jawa Barat, Bandung, Indonesia; Department of Actuarial Science, Faculty of Science, Institut Teknologi Sumatera, Sumatera Selatan, Lampung, Indonesia