Novriana Sumarti

• PhD
• Professor at Bandung Institute of Technology

Modeling a lapse rate is an important subject for life insurance companies because a lapse rate can impact the premium pricing, the reserves, and profitability. In this paper, we calculate the lapse rate and implement a similar approach proposed by the Life Insurance Marketing and Research Association (LIMRA) and the Society of Actuaries (SOA). We...

This paper presents numerical works on estimating some logistic models using particle swarm optimization (PSO). The considered models are the Verhulst model, Pearl and Reed generalization model, von Bertalanffy model, Richards model, Gompertz model, hyper-Gompertz model, Blumberg model, Turner et al. model, and Tsoularis model. We employ data on co...

Based on IIFM Sukuk Report 2022, global sukuk issuance has shown a single digit increase of around 7.72\%, the highest value of yearly sukuk issuances to date. This fact shows that sukuk is increasingly popular and will continue to grow in the future, encourages more research related to this subject. Sukuk, as one of the innovative investment instr...

An option is a financial instrument that investors often use for speculation or hedging purposes. Calculating the profit in the investment using options also considers its price, so the investor needs to know the proper value of the option's price or at least the range of these values. This paper aims to improve the Bino-Trinomial tree model for de...

In recent years, the number of Indonesian investors has rapidly increased during the COVID-19 pandemic which happened all around the world. There have been a massive number of influencers in social media who were promoting investment. Although stocks and warrants are interesting choices, mutual funds still become the main ones for beginners. Theref...

Investors always want to know about the profit and the risk that they will be get before buying some assets. Our main focus is getting the profit and the probability of getting that profit using the differential evolution algorithm for vanilla option pricing on data before and during COVID-19 pandemic. Therefore, we model the pricing of an option u...

This paper examines the implementation of simple combination mutation of differential evolution algorithm for solving stiff ordinary differential equations. We use the weighted residual method with a series expansion to approximate the solutions of stiff ordinary differential equations. We solve the problems from an ordinary stiff differential equa...

Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MINLP) problem. To solve this constrained mean-variance portfolio optimization problem, we propose...

Black-Scholes (BS) equations, which are in the form of stochastic partial differential equations, are fundamental equations in mathematical finance, especially in option pricing. Even though there exists an analytical solution to the standard form, the equations are not straightforward to be solved numerically. The effective and efficient numerical...

Compared to owning a private jet, Fractional Aircraft Ownership (FAO) concept is a cheaper alternative for very mobile business persons who want to travel in comfort. The aircraft is owned by a number of customers (referred to as “owners”) and the flight hours of its operation are shared based on each owner’s portion. In this research, we do the si...

The subprime mortgage crisis was a multinational financial crisis that occurred in 2008. The subprime mortgage is a program by the United States government to provide housing loans for borrowers with unreliable credit histories. The impact of the crisis highly influences the development of the financial market around the world, including Indonesia....

Buku ini membahas teori-teori awal pembuatan bank dan model-model matematika komponen dari neraca keuangan perbankan. Sebagai salah satu model dasar yang digunakan adalah sistem dinamika persamaan diferensial logistik dari masalah Biologi. Pengembangan model ini diantaranya dalam bentuk pendefinisian hubungan antar variabel (kompartemen), penambaha...

Modeling banking systems using a network approach has received growing attention in recent years. One of the notable models is that developed by Iori et al, who proposed a banking system model for analyzing systemic risks in interbank networks. The model is built based on the simple dynamics of several bank balance sheet variables such as deposit,...

This paper develop an approach to evaluate Bitcoin Mining Project using Real Option Method. In evaluating a project not yet being run, there is opportunity made available to the manager of company to expand or abandon the project if some particular conditions would occur in the time period being projected. The methods are based on Binomial Tree wit...

Profit-Loss Sharing (PLS) model is one of sharia economic model based on revenue-sharing system in the Musyarakah contract, where both of involved parties, the investor and market trader, contribute the capital of business. The purpose of this research is to determine the optimal ratio (nisbah) of PLS so that both investor and the trader can get op...

A general algorithm is presented to approximately solve a great variety of systems of ordinary differential equations (ODEs) independent of their form, order, and given conditions. The systems of ODEs are formulated as optimization problem because it isn't an easy way to get the exact solution for systems of ODEs. Therefore, approximate solution is...

This study purpose to discuss sharia mathematical finance literature. Based on IFCI report, Islamic banking and finance are growing in popularity and will continue growing in the future. Hence, it is important to continue to develop our knowledge in this regard. There several Islamic financial instruments that we discuss from previous studies in th...

To mitigate more casualties from the COVID-19 outbreak, this study aimed to assess optimal vaccination scenarios, considering some existing healthcare conditions and some assumptions, by developing SIQRD (Susceptible-Infected-Quarantine-Recovery-Death) models for Jakarta, West Java, and Banten, in Indonesia. The models include an age-structured dyn...

We study a system of deterministic and stochastic differential equations of a bank's balance sheet variables: deposits, loans, equity and liquid assets. The deposits and loans model are assumed to follow the logistic harvesting model. The growth rate of equity is proportional to the bank's profit or loss, and it can be reduced by the non-performing...

Differential equations have been used to describe phenomena in many fields. However, not all of differential equations can be solved in analytic ways so there is some approach being made to solve them numerically. One of the approaches is using Fourier series expansion to approximate solutions of linear and nonlinear ordinary differential equations...

To mitigate more casualties from the COVID-19 outbreak, this study assessed optimal vaccination scenarios, considering some existing healthcare conditions and some assumptions, by developing SIQRD (Susceptible-Infected-Quarantine-Recovery-Death) models for Jakarta, West Java, and Banten, in Indonesia. The models included an age-structured dynamic t...

Setiap pelaku bisnis menginginkan pengembalian (return) yang maksimal dalam menjalankan usahanya. Sebagai contoh, seorang manajer pemasaran akan berusaha untuk memaksimalkan pengembalian dengan melakukan investasi pada kegiatan promosi. Semakin besar biaya promosi yang dikeluarkan, semakin besar juga pengembalian yang diharapkan. Sebagai salah satu...

The increase of Dengue Homorrhagic Fever (DHF) casualties in Indonesia can become a burden to the nation, especially for the mandatory health insurance which provided by BPJS (Badan Penyelenggara Jaminan Sosial) or Indonesia Social Security Administrator. In this research, a model of premium estimation of health insurance is developed for handling...

The development of Islamic banking continues to increase in many Muslim (majority) countries. Substituting interest with profit shares in the assets of a given Islamic bank as one of the bases of operation has many interesting implications, one of which is the need for more involved risk and return measures. In this paper, we take a balance sheet a...

In this paper, we propose mathematical models to describe the behavior of deposit and loan volumes between two banks via logistic model. There are four models that represent the combination of saving and debt transfer between two banks. The parameters values of each model are estimated using the spiral optimization algorithm based on monthly data o...

Nowadays, the study of financial stability of banking is important, which is to observe the behavior of the bank in the future. In this paper, a simple model of deposit and loan of a bank is solved analytically and numerically, and then it is implemented into data of four groups of commercial banks in Indonesia based on their capitals. From the dat...

Nowadays, the study of financial stability of banking is important, which is to observe the behavior of the bank in the future. In this paper, a simple model of deposit and loan of a bank is solved analytically and numerically, and then it is implemented into data of four groups of commercial banks in Indonesia based on their capitals. From the dat...

Based on 2010 FAO report, teak forest and plantation in Indonesia covers 1,269 million hectares or 7 per mill of total area of Indonesia. It can be found dominantly in Central and East Java. PT Perhutani, Indonesia has responsible for management of the government owned forests in the islands of Java and Madura. Based on 2007 data, the teak wood pro...

Perkembangan perbankan syariah marak terjadi di banyak negara, termasuk Indonesia. Bank syariah pertama di Indonesia didirikan pada tahun 1992. Sesuai peraturan Bank In-donesia No 23 Tahun 1999, diperbaiki dalam Peraturan No. 3 Tahun 2004, bank Syariah dan konvensional diperbolehkan untuk beroperasi di Indonesia. Sekarang terdapat 11 (sebelas) bank...

Dalam menghadapi kondisi pasar yang tidak menentu, sebuah perusahaan memerlukan sebuah proses evaluasi nilai proyek yang dapat mengikutsertakan ketidakpastian yang tim-bul oleh kondisi pasar tersebut, agar perusahaan dapat memaksimalkan keuntungan dan membatasi kerugian yang mungkin timbul. Metode Real Option merupakan metode valuasi proyek yang da...

Model profit and loss sharing merupakan salah satu bentuk sistem investasi yang diterapkan dalam keuangan Islam. Penerima investasi dan investor melakukan pembagian keuntungan dan kerugian secara adil. Model yang digunakan dalam jurnal ini merupakan modifikasi dari penelitian sebelumnya dimana investor memberikan modal kepada pedagang berpenghasila...

In every country there are many fictional creatures depicting evil. In the western world, fictional creatures who often appear in horror stories are vampires and werewolves. Many released movies expose the conflict between humans with one or both creatures. In this paper, the interaction among humans, vampires and werewolves is modeled using a syst...

The contract of Ijarah ("providing services and goods temporarily for a wage" from Arabic) of Islamic Finance is an ownership of the right to the benefit of using an asset, or the usufruct, for a period of time. This contract is essentially of the same design as an instalment leasing agreement, in which the owner rents or leases his/her property or...

Author: Dean Andrean, Rio Nur Arifin, Novriana Sumarti AbstrakDalam menghadapi kondisi pasar yang tidak menentu, sebuah perusahaan memerlukan se- buah proses evaluasi nilai proyek yang dapat mengikutsertakan ketidakpastian yang timbul oleh kondisi pasar tersebut, agar perusahaan dapat memaksimalkan keuntungan dan mem- batasi kerugian yang mungkin t...

AbstrakPerkembangan perbankan syariah marak terjadi di banyak negara, termasuk Indonesia. Bank syariah pertama di Indonesia didirikan pada tahun 1992. Sesuai peraturan Bank Indonesia No 23 Tahun 1999, diperbaiki dalam Peraturan No. 3 Tahun 2004, bank Syariah dan kon- vensional diperbolehkan untuk beroperasi di Indonesia. Sekarang terdapat 11 (sebel...

Multimodal optimization is one of the interesting problems in optimization which arises frequently in a wide range of engineering and practical applications. The goal of this problem is to find all of optimum solutions in a single run. Some algorithms fail to find all solutions that have been proven their existence analytically. In our paper [1], a...

In aviation industries, the aircrew assignment problem is one of the most important factors in total operational cost optimization. This problem will be solved in two steps: flight pairing and aircrew scheduling. The constraints to be satisfied in flight pairing include having the same airport for first departure and final destination, and the limi...

A mathematical model of micro-finance investment using profit-loss sharing scheme are made and implemented to simulated data. Here profits from the venture will be shared in a portion between the investor and the entity running the business. The scheme can be classified as Musharaka type of investment in Sharia economy. The proposed model is theore...

The Lotka-Volterra model is a very popular mathematical model based on the relationship in Ecology between predator, which is an organism that eats another organism, and prey, which is the organism which the predator eats. Predator and prey evolve together. The prey is part of the predator’s environment, and the existence of the predator depends on...

In this paper, the logistic differential equation is used in developing a model on carbon dioxide traces which potentially releases from a particular area. The improvement to a higher scale or scope is straightforward by considering the larger observed data or larger number of the potential CO2 sources. Let G(t) the total amount of the carbon dioxi...

A Dynamic Portfolio or Dynamic Asset Allocation is a strategy used to determine the proportion of a number of assets, chosen carefully, in order to achieve optimum performance of the portfolio. In this paper, the portfolio consists only Options traded in the financial market. One of the most famous models of option pricing is Binomial Cox-Ross-Rubi...

A dynamical model, which is one of sophisticated techniques using mathematical equations, can determine the observed state, for example bank profits, for all future times based on the current state. It will also show small changes in the state of the system create either small or big changes in the future depending on the model. In this research we...

Ujian Nasional (UN) Matematika untuk Siswa SMA diamati berdasarkan studi dan riset yang ditulis pada prosiding konferensi, skripsi sarjana dan tesis master, dan laporan resmi mengenai hasil ujian ini. Penilaian nasional untuk siswa SMA adalah salah satu tahapan penting dalam pendidikan karena bisa pengukuran kualitas pendidikan nasional di Indonesi...

The mathematical model for a profit-loss sharing scheme is formulated in order to see how this scheme can replace the traditional practice of lending money against high interest by usurers. It is sourced from the musyarakah method in Islamic Syariah law and implemented for small-scale investments of traditional-market traders. They are the common t...

Options are financial instruments that can be utilized to reduce risk in stock investment. Barrier options are one of the major types of options actively used in financial markets where its life period depends on the path of the underlying stock prices. The features of the barrier option can be used to modify other types of options. In this researc...

This paper discusses the cockpit crew rostering problem at Garuda Indonesia, taking into account a number of internal cockpit crew labor regulations. These internal labor regulations are in general more restrictive at Garuda Indonesia than at other airlines, so that modeling the cockpit crew rostering problem for Garuda Indonesia is challenging. We...

A dynamical system is one of sophisticated techniques using mathematical equations that can determine the observed state for all future times based on the current state. It will also show small changes in the state of the system create either small or big changes in the future depending on the model. This is called stability analysis of a dynamical...

Satellites, related to the term disaster mitigation, can be used to obtain information that able to support the decision making on how to minimize the impact of upcoming predicted disasters. In this research, we will use the real options approach to find the optimum time of the launch of a satellite mission according to the amount of losses occurre...

Fuzzy Logic in decision-making process has been widely implemented in various problems in industries. It is the theory of imprecision and uncertainty that was not based on probability theory. Fuzzy Logic adds values of degree between absolute true and absolute false. It starts with and builds on a set of human language rules supplied by the user....

A model to explain the kinetics of corrosion inhibitor is proposed here. The model is based on Transition State Theory. Our model has many similarities with Michelis-Menten Kinetics. The kinetics difference between uninhibited corrosion and inhibited corrosion is presented. Our model showed the inhibitor could suppress the corrosion rate.

In this research, we proposed a dynamical system of deposit and loan volumes of a bank using a predator-prey paradigm, where the predator is loan volumes, and the prey is deposit volumes. The existence of loan depends on the existence of deposit because the bank will allocate the loan volume from a portion of the deposit volume. The dynamical syste...

In the aquaculture production chain, a weaning is a process in larval rearing where the tiny fish larvae are separatedly fed with nutritious food in order to grow well. Live feed, for example feeding Artemia nauplii into angelfish larvae (Pteraphylum Scalare), is generally considered as the most suitable food for first feeding larvae. In practice,...

In financial world, lending money is a part of investment where the borrower get an opportunity to start up or enlarge their business, and as in the fair world, the lender should also take profits on the borrower’s investment. In Islamic finance, the profit (and later also the loss) of an investment is coming from the profit-loss sharing concept. W...

Commercial banks and other depository institutions in some countries are required to hold in reserve against deposits made by their customers at their Central Bank or Federal Reserve. Although some countries have been eliminated it, this requirement is useful as one of many Central Bank's regulation made to control rate of inflation and conditions...

Problems of flight scheduling consist of the flight rotation pairings and the crew assignment problems. In this paper, we are dealing with the aircrew-assignment problem and its computational aspects that are implemented on data of Garuda Indonesia, a national airline company in Indonesia, serving of at least 42 domestic and international destinati...

The main purpose of a financial risk model is to make forecasts of the likely losses or gains that would be incurred for a variety of risks so it can be as references of the actual or potential investment. This paper analyzes the return of weekend's earnings of the US movie Box Office taken from January 1982 to December 2010. Based on Extreme Value...

The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic decline that is the most severe since the 1930s. According to the International Monetary Fund (IMF), the global financial crisis gave impact on $3.4 trillion losses from financial institutions around the world between 2007 and 2010. Does the crisis give impact...

Many problems in mathematical models can be written in linear systems. Especially in numerical analysis, all problems in differential equations are usually rewritten in linear systems so they can be solved numerically. In modelling real world problems involving vagueness and imprecision, fuzzy approach could tolerate facts which are quite often cap...

Buckley [1] develops fuzzy analogues of problems in financial mathematics, such as the fuzzy present value and fuzzy future value of fuzzy cash amounts, using fuzzy interest rates. Using fuzzy approach in analyzing problems in financial mathematics, it tolerates facts happened in real world that future cash amounts and interest rates are quite ofte...

Fuzzy analogues of problems in financial mathematics had been developed initially more than two decades ago by Buckley [1], such as the fuzzy present and future values of fuzzy cash amounts, using fuzzy compound interest rates. Due to the fact that future cash amounts and interest rates are quite often in estimation values, the fuzzy approach resul...

Implicit interpolants are constructed to provide a continuous extension of a solution of a nonlinear differential equation with two-point boundary conditions. To do this we start from the discrete solution approximation produced by a finite difference method and then derive an interpolant by adding additional function values using the bootstrap app...

There now exist several powerful codes for the numerical integration of first order systems of nonlinear two-point boundary value problems. All of these codes aim to provide a continuous solution to the problem being solved but the way in which each code achieves this aim is quite different. In this paper we survey some of the approaches that are a...

Codes for the numerical solution of two-point boundary value problems can now handle quite general problems in a fairly routine and reliable manner. When faced with particularly challenging equations, such as singular perturbation problems, the most efficient codes use a highly non-uniform grid in order to resolve the non-smooth parts of the soluti...

Iterated deferred correction is a very popular approach to the numerical solution of general first order systems of nonlinear two-point boundary value problems. Typically the order of accuracy of the solution is increased by 2 each time that a deferred correction is applied and this allows inexpensive local error estimates to be computed using embe...