A1151
Title: Exploring and forecasting stochastic risk of payments series for loan and pension scheme
Authors: Nurul Hasanah Uswati Dewi - Universitas Hayam Wuruk Perbanas (Indonesia) [presenting]
Khreshna Syuhada - Institut Teknologi Bandung (Indonesia)
Abstract: A series of payments may be intended to repay a loan or to deposit a pension scheme. It is usually assumed that such payments are non-stochastic, i.e., an individual is making payments regularly with a certain interest rate and no overdue payments or even failing to make payments. However, this assumption may not always hold in actual situations, as there may be unforeseen circumstances that could impact one's ability to make payments on time. A model is constructed for a series of stochastic payments. In particular, the potential risk(s) of failing is explored to repay a loan or make a deposit in a pension scheme. The corresponding statistical distribution is developed, and forecasting future risk is carried out. This can help individuals and institutions to manage the risk, improving their financial stability and ensuring long-term sustainability. Numerical analysis of both simulation and real data is also used to illustrate the model and future risk forecast.
