Bidang Penelitian

Laboratorium Manajemen Risiko dan Analitika Data Aktuaria

Kepala Laboratorium:

Pratnya Paramitha Oktaviana S.Si, M.Si, M.Sc

Anggota:

• Dr. Drs. Soehardjoepri, M.Si
• R. Mohamad Atok, M.Si, Ph.D
• Imam Safawi Ahmad, S.Si, M.Si
• Ulil Azmi, S.Si, M.Si
• Wawan Hafid Syaifudin, S.Si, M.Si, M.Act.Sc
• Galuh Oktavia Siswono, S.Si, M.Si, M.Act.Sc

Areas of Expertise

• Mathematics and Statistics
• Financial Modelling
• Computation
• Insurance
• Shariah

Research Roadmap

Topics 2020-2022 2023-2025
Pemodelan Keuangan

 

·       Portfolio Optimization

·       Risk Measures in Portfolio Optimization (VaR, TVaR)

·       Forecasting and analysis (ARIMA-GARCH)

  • Stochastic analysis
  • GBM
  • Portfolio optimization
  • Investment and management strategy
Komputasi
  • Copula
  • Risk modelling and mitigation strategy
  • Kernel SVM
  • Risk Management

·       Big Data simulation

·       Machine learning

·       Extreme value analysis

Asuransi
  • Forecasting and analysis of Life Table
  • Pricing and Valuation
  • Risk mitigation and management
  • Risk Modelling
  • Pricing and Valuation
  • QRM in Life and General Insurance
  • Ruin Theory
  • Loss modelling and analysis
  • Extreme value analysis
Syariah
  • Tabarru’ portion in Sharia life insurance
  • Wakalah and Mudharabah Scheme in Shariah life insurance
  • Ruin theory
  • Pricing and Valuation in Shariah Insurance