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Desain Asuransi Deposito: Teori Opsi dengan Proses Lompatan

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  • Said Kelana Asnawi

Abstract

Desain premi asuransi deposito seharusnya mempertimbangkan risiko, serta peluang moral hazard yang dilakukan bank setelah mengikuti program asuransi tersebut. Dengan demikan desain premi akan memuat suatu fraksi incentive compatible. Walau demikian, kondisi ini belum cukup untuk merefleksikan risiko sebenar¬nya. Hal ini karena industri bank rawan (fragile) terhadap bank run. Karenanya peluang terjadinya bank run, seha¬rusnya diikutsertakan dalam desain premi ini. Peluang bank run ini merupakan suatu proses lompatan, sedang¬kan secara teoritis berdasarkan teori put opsi. Dengan demikian penentuan premi dapat dilakukan dengan teori opsi-proses lompatanKata Kunci: option theory-jump process; poisson process; moral hazard; co-insurance;

Suggested Citation

  • Said Kelana Asnawi, 2004. "Desain Asuransi Deposito: Teori Opsi dengan Proses Lompatan," Jurnal Siasat Bisnis, Management Development Centre (MDC) Department of Management, Faculty of Business and Economics Universitas Islam Indonesia, vol. 2(9).
    • Handle: RePEc:uii:jsbuii:v:2:y:2004:i:9:id:1000
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