Hasil Pencarian  ::  Simpan CSV :: Kembali

"ABSTRAKThis research focus on consideration of stochastic demand in deterministic Vehicle Routing Problem with Compartment (VRPC) model. VRPC in this research consider split delivery, multi product, and time windows characteristic. Stochastic demand in this research is handled using scenario-based approach. The demand is modeled by constructing discrete scenarios then implementing it in the deterministic VRPC model. The change of customer demand over time is considered as normal probability distribution. Stochastic VRPC model then solved using robust approach by looking for the highest demand under each scenario to be solve, therefore the solution generated deals with the minimum probability of unmet demand."

"This book presents the current status and research trends in Stochastic Analysis. Several new and emerging research areas are described in detail, highlighting the present outlook in Stochastic Analysis and its impact on abstract analysis. The book focuses on treating problems in areas that serve as a launching pad for continual research."

"Penelitian kinerja efisiensi perbankan ini menggunakan 28 perusahaan perbankan yang terdaftar di Bursa Efek Indonesia untuk data periode 2006 sampai 2007. Kredit yang diberikan adalah sebagai variabel output, sedangkan total dana pihak ketiga (DPK), jumlah karyawan serta total modal adalah sebagai variabel inputnya. Penggunaan Stochastic Frontier Analysis diharapkan dapat memberikan estimasi pengukuran efisiensi yang lebih baik, karena tidak menggunakan salah satu perusahaan sebagai benchmark. Pengolahan data dan analisis data dilakukan dengan bantuan software Frontier 4.1. Beberapa kesimpulan yang dapat ditarik dari penelitian ini adalah bank publik yang memiliki tingkat efisiensi tertinggi untuk periode 2007 adalah Bank Niaga dan Bank Rakyat Indonesia menempatkan posisi terefisien untuk periode 2006. Bank dengan kategori BUMN memiliki tingkat mean (rata-rata) yang lebih tinggi dibandingkan dengan kategori Non BUMN.

---

These research on efficiency performance have been conducted on 28 banks listed in Indonesia Stock Exchange for the period of 2006 ? 2007. Loan Granted by Banks as the output variable and third party fund, numbers of employees and total capital as the input variables. In addition, these research also examines the efficiency performance based on the Government Banks and Non Government Banks and to its individual banks. The measurement, which using Stochastic Frontier Analysis is expected to be more adequate than other method, due to benchmarking is not relevan on this method. From this studies, we can conclude that overall Bank Niaga is the most efficient bank in 2007 while Bank Rakya Indonesia is the most efficient bank in 2006. Seems that the government-banks has higher mean efficiency compare to Non government-banks."

"ABSTRAKTingkat kemacetan jalan di kota besar cenderung meningkat dari tahun ke tahun.Kemacetan jalan tersebut menyebabkan model distribusi barang dengan satuDistribution Center (DC) untuk melayani semua titik pengiriman dalam satu kota besarbelum tentu menjamin ketersediaan barang. Fluktuasi permintaan dan batasan waktupenerimaan di titik pengiriman menjadi hal yang harus diperhitungkan dalammenentukan kombinasi rute yang paling efisien. Penambahan sub-DC untuk melayanibeberapa titik pengiriman bisa merupakan satu solusi agar tidak terjadi stock out. Hanyasaja penambahan sub-DC cenderung akan menambah total biaya operasional, baik biayapengiriman maupun biaya penyimpanan barang. Untuk itu perlu optimasi penentuantambahan sub-DC yang mempunyai biaya paling efisien, termasuk meneliti sejauh manaperkembangan kondisi kemacetan akan membuat pilihan tambahan sub-DC tepat atautidak. Model CVRPTW (Capacitated Vehicle Routing Problem with Time Window)dijalankan menggunakan VRP Speadsheet Solver. Kasus nyata pengiriman barang diJakarta digunakan sebagai benchmark dan mengetes validitas model yang dibuat. Darihasil eksperimen, selain didapat rute optimal hasil perhitungan, penambahan sub-DCtetap menambah biaya operasional total, namun bisa dipilih lokasi sub-DC yangmemberikan tambahan paling kecil dibanding lokasi yang lain. Namun dalam jangkapanjang, dengan kondisi kemacetan ekstrim, penambahan sub-DC ternyata memberikanbiaya total yang lebih efisien dibandingkan bila hanya ada satu DC untuk melayanisemua titik pengiriman barang.

---

ABSTRACTThe level of traffic congestion in big cities tends to increase from year to year. Trafficcongestion causes the distribution of goods model with one Distribution Center (DC) toserve all delivery points in one big city not necessarily guarantee the availability ofgoods. The demand fluctuations and acceptance time limits at the point of delivery arethe things that must be taken into account in determining the most efficient routecombinations. The addition of sub-DC to serve multiple points of delivery can be onesolution to avoid stock out. It is just that the addition of sub-DC tends to increase thetotal operations cost, both shipping and storage costs. Therefore, it is necessary tooptimize the determination of sub-DC additions which have the most efficient cost,including to examine the extent to which the development of congestion conditions willmake the sub-DC sub-appraisal correct or not. The CVRPTW (Capacitated VehicleRouting Problem with Time Window) model is run using VRP Spreadsheet Solver. Thereal case of delivery of goods in Jakarta is used as a benchmark and test the validity ofthe model created. From the experimental results, in addition to the optimal route ofcalculation results, the addition of sub-DC still adds the total operational cost but can beselected sub-DC location which gives the smallest addition compared to other locations.However, in the long term, with extreme traffic congestion conditions, sub-DCadditions turn out to provide a more efficient total cost than if there was only one DC toserve all points of delivery."

"Penentuan harga opsi (option pricing) memegang peranan penting pada perdagangan saham agar dapat membuat keputusan yang dapat memperoleh keuntungan yang optimal baik untuk pembeli maupun penjual opsi. Salah satu model pasar yang dapat digunakan pada option pricing ini adalah model Black-Scholes dengan volatilitas stokastik dari harga saham yang berdasarkan proses Ornstein-Uhlenbeck. Model ini digunakan agar dapat menggambarkan sifat dari volatilitas yang ada pada pasar saham sesungguhnya. Untuk mengaproksimasi harga opsi call Eropa berdasarkan model tersebut, digunakan metode Euler-Maruyama. Diteliti juga laju konvergensi dari aproksimasi tersebut. Kemudian, dilakukan analisis terhadap hasil simulasi harga opsi menggunakan beberapa fungsi volatilitas harga saham yang berdasarkan proses Ornstein-Uhlenbeck. Hasil simulasi menunjukkan bahwa pemilihan fungsi volatilitas pada model pasar perlu dipertimbangkan lebih lanjut karena berkaitan dengan konsep mean-reversion yang diharapkan dari volatilitas pasar saham di dunia nyata.

---

Option pricing holds a crucial role in trading to make decision that would lead to the best benefit for both the option buyer and seller. The market model that could be used for option pricing is Black-Scholes model with stochastic stock prices volatility driven by Ornstein-Uhlenbeck process. This model is used in order to reflect the properties of the volatility in the real market. In this short thesis, Euler-Maruyama method is used to approximate the price of the European call option based on that model. The rate of convergence of the approximation is also determined. The simulation of the option price approximation is performed with some Ornstein-Uhlenbeck-driven volatility functions for the stock price model. The result of the simulation shows that the choice of the volatility function for the stock price model needs to be scrutinized since it is related to the mean-reversion concept that is expected from the stock prices volatility in real market."

"ABSTRAKKeuntungan merupakan indikator penting dari kondisi finansial perusahaan danakan digunakan untuk pembiayaan segala aktivitas dalam perusahaan. Salah satusumber keuntungan perusahaan adalah dari hasil underwriting, dimana hasilunderwriting atas suatu produk asuransi jiwa harus menghasilkan surplus. Secaraumum, perhitungan surplus produk asuransi jiwa menggunakan pendekatandeterministik yang mengasumsikan nilai suatu variabel adalah konstan. Sepertidiketahui bahwa terdapat variabilitas dari tingkat pengembalian investasi, tingkatkematian atau tingkat lapse, sehingga pendekatan deterministik menjadi kurangsesuai untuk kondisi sebenarnya. Dalam penelitian ini dikaji mengenai penggunaanpendekatan stokastik dalam perhitungan surplus suatu produk asuransi jiwa. Hal inipenting untuk dikaji agar dapat menghasilkan perhitungan surplus yang mendekatikondisi sebenarnya. Peubah acak bersifat stokastik yang digunakan dalampenelitian ini adalah tingkat pengembalian investasi, tingkat bunga untukmenggambarkan tingkat pengembalian investasi serta tingkat kematian. Tingkatpengembalian investasi dimodelkan AR(1), tingkat suku bunga dimodelkan CoxIngersoll Ross (CIR), serta tingkat kematian menggunakan pendekatan hukummortalita Makeham. Perhitungan pendekatan stokastik menghasilkan nilai surplusyang berbeda pada tiap periode valuasi serta variabilitas dari nilai surplus pada masamendatang cukup tinggi. Selain itu pada periode tengah hingga akhir masa asuransi,surplus hasil perhitungan pendekatan stokastik lebih tinggi dibandingkanpendekatan deterministik. Perhitungan surplus pendekatan stokastik menggunakandata tingkat pengembalian investasi menghasilkan nilai surplus lebih tinggidibandingkan menggunakan data tingkat suku bunga pada beberapa periode di akhirmasa asuransi.

---

ABSTRACTA profit is an important indicator of an insurance company?s financial conditionand will be used to financing all activities within the company. One of the sourcesof profit is underwriting results, which is the underwriting result must producesurplus. In general, the calculation of surplus for life insurance product usingdeterministic approach that assumes the value of variable is constant. However it isknown that there is variability in the level rate of return, mortality rate or lapse rate,so the deterministic approach would be less suited to the real conditions. This studyexamines the use of stochastic approach in the calculation of surplus for lifeinsurance product. This study is needed to provide calculation that resemble the realconditions. Stochastic random variables used were variable rate of return, interestrate to describe rate of return and mortality rate. The rate of return is modelled usingAR(1), interest rate is modelled using Cox Ingersoll Ross (CIR) and mortality ratesis approached by Makeham mortality law. The calculation of a stochastic approachproduce surplus value which varies in each period and the variability of futuresurplus value is quite high. In the middle until end of the insurance period, surplusfrom the calculation using stochastic approach is higher than the calculation usingdeterministic approach. The calculation of a stochastic approach when usingvariable rate of return produce higher surplus value than when using variableinterest rate at some period in the end of insurance period."

"Penelitian ini bertujuan melakukan analisis perbandingan kinerja keuangan, tingkat efisiensi dan analisis perbedaan efisiensi antara BMT berbasis kelompok dan BMT berbasis perorangan di Kota Tasikmalaya dengan mengestimasi fungsi profit BMT dan menghitung rasio BOPO. Secara teoritis dengan mengestimasi fungsi profit, dapat diukur profit maksimum yang diperoleh dari hasil input dan output yang digunakan. Dari hasil fungsi profit tersebut, kemudian dihitung error term dengan pendekatan Stochastic Frontier Analysis (SFA). Hasil penelitian menunjukkan bahwa Kinerja total profit BMT Al-Hidayah lebih baik dibandingkan dengan tiga BMT lainnya. Berdasarkan metode SFA dan rasio BOPO Tingkat efisiensi BMT berbasis kelompok lebih baik dibandingkan BMT berbasis perorangan selama periode 2011-2015. Hasil uji Two sample pendekatan SFA memberikan hasil rata-rata nilai efisiensi BMT berbasis kelompok berbeda dengan rata-rata nilai efisiensi BMT berbasis perorangan sedangkan dengan pendekatan BOPO diperoleh hasil rata-rata nilai efisiensi BMT berbasis kelompok tidak berbeda dengan rata-rata nilai efisiensi BMT berbasis perorangan.

---

The aim of this study is to conduct a comparative analysis of financial performance, the level of efficiency and the analysis of differences in efficiency between group-based BMT and individual-based BMT in Tasikmalaya city by estimating the profit function of BMT and calculating BOPO ratios. Theoretically by estimating the profit function, we can measure maximum profit obtained from the input and output are used. Then, from the results of the profit function, we may calculate error term with the approach of Stochastic Frontier Analysis (SFA).

The results showed that the total profit performance of BMT Al-Hidayah is better than the other three BMTs. Based on the SFA method and BOPO ratio, efficiency rate of group-based BMT is better than individual-based BMT over the period of 2011-2015. The result of Two test sample of SFA approaches show the average yields of efficiency values in group-based BMT is in contrast to the average value of the individual-based BMT. At the same time, according to the approach of BOPO, the average result of efficiency value of group-based BMT has no different from the average efficiency value of individual-based BMT."

"Since the early eighties, Ali Suleyman Ustunel has been one of the main contributors to the field of Malliavin calculus. In a workshop held in Paris, June 2010 several prominent researchers gave exciting talks in honor of his 60th birthday. The present volume includes scientific contributions from this workshop. Probability theory is first and foremost aimed at solving real-life problems containing randomness. Markov processes are one of the key tools for modeling that plays a vital part concerning such problems. Contributions on inventory control, mutation-selection in genetics and public-private partnerships illustrate several applications in this volume. Stochastic differential equations, be they partial or ordinary, also play a key role in stochastic modeling. Two of the contributions analyze examples that share a focus on probabilistic tools, namely stochastic analysis and stochastic calculus. Three other papers are devoted more to the theoretical development of these aspects. "