Simulasi Monte Carlo pada Dekumulasi Tabungan Pensiun: Perbandingan Skenario Inflasi Stokastik dan Fixed Rate
-
Arsyelina Husni Johan
*
Universitas Terbuka, Tangerang Selatan,
Indonesia
- Rosa Andriani Universitas Terbuka, Tangerang Selatan, Indonesia
- Krishna Prafidya Romantica Universitas Terbuka, Tangerang Selatan, Indonesia (*) Corresponding Author
Abstract
Perencanaan keuangan saat pensiun sangat dipengaruhi oleh ketidakpastian ekonomi, khususnya inflasi yang berdampak pada nominal penarikan tabungan pensiun sesuai daya beli para pensiunan setiap tahun. Berbeda dengan penelitian terdahulu yang mensimulasikan proyeksi keberlanjutan tabungan pensiun menggunakan Safe Withdrawal Rate, penelitian ini menganalisis perbandingan keberlanjutan tabungan pensiun melalui dua skenario penarikan tahunan yaitu skenario penarikan sesuai inflasi stokastik dan skenario penarikan tingkat tetap sebesar 4%. Penelitian ini menggunakan pendekatan kuantitatif berbasis simulasi Monte Carlo dengan data sekunder berupa data historis tingkat inflasi Indonesia dan data historis kinerja benchmark aset investasi Indonesia yaitu IHSG, GIDN10Y, serta JIBOR. Dari populasi data yang diperoleh dari platform data keuangan yang tersedia secara publik, digunakan sebanyak 252 data observasi periode Januari 2003 hingga Desember 2023 sebagai sampel data penelitian. Paratemer yang diperoleh dari data tersebut digunakan untuk membangkinkan 10.000 jalur simulasi dekumulasi selama 30 tahun dengan saldo awal sebesar Rp 1.000.000.000 dan penarikan awal Rp 20.000.000 per tahun. Setiap skenario dijalankan pada empat komposisi portofolio investasi yaitu konservatif, moderat, seimbang, dan agresif. Hasil penelitian menunjukkan skenario inflasi stokastik menghasilkan risiko kehabisan dana lebih tinggi dibanding tingkat penarikan tetap. Selanjutnya, komposisi portofolio agresif secara konsisten menghasilkan Probability of Ruin yang lebih rendah dan menghasilkan median saldo akhir yang lebih tinggi dibandingkan skenario lainnya. Temuan ini menegaskan bahwa penggunaan asumsi inflasi stokastik pada penarikan dana tabungan pensiun memberikan gambaran lebih nyata atas Risk of Ruin di masa datang. Hasil penelitian diharapkan dapat membantu strategi penarikan dana tabungan pensiun yang lebih adaptif terhadap perubahan ekonomi yang tidak pasti.
Downloads
References
Ahmed, R., Chen, X. H., Kumpamool, C., & Nguyen, D. T. K. (2023). Inflation, oil prices, and economic activity in recent crisis: Evidence from the UK. Energy Economics, 126. https://doi.org/10.1016/j.eneco.2023.106918
Anarkulova, A., Cederburg, S., O’doherty, M. S., & Sias, R. (2025). The Safe Withdrawal Rate: Evidence from a Broad Sample of Developed Markets. Journal of Pension Economics and Finance, 24(3), 464–500. https://doi.org/10.1017/S1474747225000010
Awanda, D. W. P., Santoso, S. P., & Pandin, M. Y. R. (2024). Manajemen Risiko Investasi Untuk Mempertahankan Ketahanan Keuangan Di Tengah Volatilitas Pasar. EKOMA: Jurnal Ekonomi, Manajemen, Akuntansi, 4(1), 1794–1807. https://doi.org/10.56799/ekoma.v4i1.6046
Blanchett, D. (2023). Redefining the Optimal Retirement Income Strategy. Financial Analysts Journal, 79(1), 5–16. https://doi.org/10.1080/0015198X.2022.2129947
Caldara, D., Conlisk, S., Iacoviello, M., & Penn, M. (2026). Do geopolitical risks raise or lower inflation? Journal of International Economics, 159. https://doi.org/10.1016/j.jinteco.2025.104188
Cheng, Y. (2025). Monte Carlo-Based VaR Estimation and Backtesting Under Basel III. Risks, 13(8), 146. https://doi.org/10.3390/risks13080146
Daraei, D., & Sendova, K. (2024). Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach. Risks, 12(4), 70. https://doi.org/10.3390/risks12040070
Dziwisch, A., Krahnhof, P., & Zureck, A. (2021). Empirical determination of sustainable withdrawal rates considering historical yields and inflation rates in Germany. Zeitschrift Fur Die Gesamte Versicherungswissenschaft, 110(2–3), 117–132. https://doi.org/10.1007/s12297-021-00504-1
Forsyth, P. A., Vetzal, K. R., & Westmacott, G. (2021). Optimal Control Of The Decumulation Of A Retirement Portfolio With Variable Spending And Dynamic Asset Allocation. ASTIN Bulletin, 51(3), 905–938. https://doi.org/10.1017/asb.2021.19
Foziah, H., Afthanorhan, A., Ghazali, P. L., & Tajuddin, S. A. F. S. (2023). Impact of inflation severity on retirement savings: A simulation analysis of projected accumulation and de-accumulation. Journal of Social Economics Research, 10(3), 124–133. https://doi.org/10.18488/35.v10i3.3474
Hamzah, D. A., Siahaan, T. S. A., & Pranata, V. C. (2023). Ruin Probability In The Classical Risk Process With Weibull Claims Distribution. Barekeng, 17(4), 2351–2358. https://doi.org/10.30598/barekengvol17iss4pp2351-2358
Horan, S. M. (2024). Optimal withdrawal frequency for sustainable retirement withdrawals. FINANCIAL PLANNING REVIEW, 7(2). https://doi.org/10.1002/cfp2.1183
Husni Johan, A., Andriani, R., & Prafidya Romantica, K. (2026). Perbandingan Akumulasi Tabungan Pensiun Pada Berbagai Tingkat Inflasi Menggunakan Simulasi Monte Carlo. SIBATIK JOURNAL, 5(4), 1970–1984. https://doi.org/10.54443/sibatik.v5i4.4102
Jain, A. (2025). Analyzing the Impact of Inflation on Household Spending Patterns. International Journal for Research Publication and Seminar, 16(3), 133–140. https://doi.org/10.36676/jrps.v16.i3.303
Jiménez-Rodríguez, R., & Morales-Zumaquero, A. (2022). Commodity price pass-through along the pricing chain. Review of World Economics, 158(1), 109–125. https://doi.org/10.1007/s10290-021-00425-2
NguyenHuu, T., & Örsal, D. K. (2024). Geopolitical risks and financial stress in emerging economies. The World Economy, 47(1), 217–237. https://doi.org/10.1111/twec.13529
Oyadeyi, O. O., Ukoli, K. C., Chandiramani, A., Rosas, J., Luo, J., & Oyadeyi, O. A. (2025). Navigating Economic Policy Uncertainty in Nigeria: The Influence of Soaring Food and Commodity Prices on the Cost-of-Living Crisis in Nigeria Amid Geopolitical Risks and Energy Market Fluctuations. Energy Research Letters, 6(3). https://doi.org/10.46557/001c.123839
Peksevim, S., & Ercan, M. (2024). Do pension funds provide financial stability? Evidence from European Union countries. Journal of Financial Services Research, 66(3), 297–328. https://doi.org/10.1007/s10693-023-00408-4
Rizvi, S. A. R., & Sahminan, S. (2020). Commodity price and inflation dynamics: Evidence from briics. Buletin Ekonomi Moneter Dan Perbankan/Monetary and Banking Economics Bulletin, 23(4), 485–500. https://doi.org/10.21098/BEMP.V23I4.1418
Setiadi. (2025). Inflation, Monetary Policy, and Systemic Risks: Global Insights from the Post-Crisis Era. Moneta : Journal of Economics and Finance, 3(4). https://doi.org/10.61978/moneta.v3i4.930
Yang, T., Dong, Q., Du, M., & Du, Q. (2023). Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach. Energy Economics, 127, 107099. https://doi.org/10.1016/j.eneco.2023.107099
Bila bermanfaat silahkan share artikel ini
Berikan Komentar Anda terhadap artikel Simulasi Monte Carlo pada Dekumulasi Tabungan Pensiun: Perbandingan Skenario Inflasi Stokastik dan Fixed Rate
Pages: 797-806
Copyright (c) 2026 Arsyelina Husni Johan, Rosa Andriani, Krishna Prafidya Romantica
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under Creative Commons Attribution 4.0 International License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (Refer to The Effect of Open Access).
