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DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY

Yıl 2017, Cilt: 18 Sayı: 5, 951 - 961, 31.12.2017
https://doi.org/10.18038/aubtda.306784

Öz

Insurance companies can measure their ruin
probability and default risk more realistically and have strong management
strategies with Dynamic Financial Analysis (DFA). In this paper, the influence
of the dependence between motor own damage insurance and compulsory motor
insurance, that are two really important lines of business for nonlife
insurance, on the risk, return and performance in a nonlife insurer’s DFA is
investigated. The dependency is integrated to the DFA framework using copulas
concept. In the application non-life insurance data of Turkey is used.

Kaynakça

  • Casualty Actuarial Society. Dynamic Risk Modeling Handbook. prepared by the CAS Dynamic Risk Modeling Working Party, 2006.
  • Lowe SP, Stanard JN. An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer. Astin Bulletin 1997; 27, 339-371.
  • Kaufmann R, Gadmer A, Klett R. Introduction to Dynamic Financial Analysis,. Astin Bulletin 2001; 31(1), 213-249.
  • Blum P, Dacarogna M, Emrechts P, Neghaiwi T, Niggli H. Using DFA for Modeling the Impact of Foreign Exchange Risks on Reinsurance Decisions. Casualty Actuarial Society Forum 2001.
  • D’Arcy SP, Gorvett RW. The Use of Dynamic Financial Analysis to Determine Whether an Optimal Growth Rate Exists for a Property-Liability Insurer. Journal of Risk and Reinsurance 2004; 71, 583-615.
  • M. Eling, T. Parnitzke, H. Schmeiser. Management Strategies and Dynamic Financial Analysis. Variance 2008; 2(1): 52-70.
  • Sklar A. Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ., Paris 8: 229–231, 1959.
  • Wang S. Aggregation of Correlated Risk Portfolios: Models and Algorithms. Proceedings of the Casualty Actuarial Society; 1998; 85(163): 848-939.
  • Klugman SA, Parsa R. Fitting Bivariate Loss Distributions with Copulas. Insurance: Mathematics and Economics 1999; 24(1): 139-148.
  • Zeevi A, Mashal R. Beyond Correlation: Extreme Co-Movements Between Financial Assets. Working Papers Series 2002.
  • Malevergne Y, Sornette D. Testing the Gaussian Copula Hypothesis for Financial Assets Dependences. Quantitative Finance 2003; 3(4): 231-250.
  • Dias A. Copula Inference for Finance and Insurance, Doctoral Thesis ETH No. 15283, Zurich, 2004
  • Kole E, Koedijk K, Verbeek M. Selecting Copulas for Risk Management, Journal of Banking & Finance 2207; 31(8): 2405-2423.
  • Burkett JC, McIntyre T, Sonlin SM. DFA Insurance company case study part I: Reinsurance and asset allocation. Casualty Actuarial Society Forum, Summer 2001; Arlington, VA: Casualty Actuarial Society.
  • I.V. Beusekom-Bastiaans. Dynamic Financial Analysis; Introduction to Nonlife Insurance Decisions. BMI paper, November 15 2005; Amsterdam, The Netherlands.
  • Eling M, Toplek D. Modeling and management of nonlinear dependencies –copulas in dynamic financial analysis. The Journal of Risk and Insurance 2009; Vol. 76, No. 3, 651-681.
  • Charles JF, Marchant JRV. Cassell’s Latin Dictionary, 1853-1936.
  • Simpson J, Weiner E. The Oxford English Dictionary, second edition: Oxford University Press, United Kingdom, 1989.
  • Malevergne Y, Sornette D. Extreme Financial Risks: From Dependence to Risk Management: Springer, 2006.
  • Adeleke IA. Modeling claim sizes in personal line non-life insurance. International Business and Economic Research Journal Februray 2011; volume 10 number 2.
  • Achieng OM. Actuarial modeling for insurance claim severity in motor comprehensive policy using industrial statistical distributions. International Congress of Actuaries; 7-12 March 2010; Cape Town.
  • Annual report about insurance and private pension activities. Republic of Turkey Prime Ministry Under secretariat of Treasury insurance Supervision Board, 2014.
Yıl 2017, Cilt: 18 Sayı: 5, 951 - 961, 31.12.2017
https://doi.org/10.18038/aubtda.306784

Öz

Kaynakça

  • Casualty Actuarial Society. Dynamic Risk Modeling Handbook. prepared by the CAS Dynamic Risk Modeling Working Party, 2006.
  • Lowe SP, Stanard JN. An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer. Astin Bulletin 1997; 27, 339-371.
  • Kaufmann R, Gadmer A, Klett R. Introduction to Dynamic Financial Analysis,. Astin Bulletin 2001; 31(1), 213-249.
  • Blum P, Dacarogna M, Emrechts P, Neghaiwi T, Niggli H. Using DFA for Modeling the Impact of Foreign Exchange Risks on Reinsurance Decisions. Casualty Actuarial Society Forum 2001.
  • D’Arcy SP, Gorvett RW. The Use of Dynamic Financial Analysis to Determine Whether an Optimal Growth Rate Exists for a Property-Liability Insurer. Journal of Risk and Reinsurance 2004; 71, 583-615.
  • M. Eling, T. Parnitzke, H. Schmeiser. Management Strategies and Dynamic Financial Analysis. Variance 2008; 2(1): 52-70.
  • Sklar A. Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Statist. Univ., Paris 8: 229–231, 1959.
  • Wang S. Aggregation of Correlated Risk Portfolios: Models and Algorithms. Proceedings of the Casualty Actuarial Society; 1998; 85(163): 848-939.
  • Klugman SA, Parsa R. Fitting Bivariate Loss Distributions with Copulas. Insurance: Mathematics and Economics 1999; 24(1): 139-148.
  • Zeevi A, Mashal R. Beyond Correlation: Extreme Co-Movements Between Financial Assets. Working Papers Series 2002.
  • Malevergne Y, Sornette D. Testing the Gaussian Copula Hypothesis for Financial Assets Dependences. Quantitative Finance 2003; 3(4): 231-250.
  • Dias A. Copula Inference for Finance and Insurance, Doctoral Thesis ETH No. 15283, Zurich, 2004
  • Kole E, Koedijk K, Verbeek M. Selecting Copulas for Risk Management, Journal of Banking & Finance 2207; 31(8): 2405-2423.
  • Burkett JC, McIntyre T, Sonlin SM. DFA Insurance company case study part I: Reinsurance and asset allocation. Casualty Actuarial Society Forum, Summer 2001; Arlington, VA: Casualty Actuarial Society.
  • I.V. Beusekom-Bastiaans. Dynamic Financial Analysis; Introduction to Nonlife Insurance Decisions. BMI paper, November 15 2005; Amsterdam, The Netherlands.
  • Eling M, Toplek D. Modeling and management of nonlinear dependencies –copulas in dynamic financial analysis. The Journal of Risk and Insurance 2009; Vol. 76, No. 3, 651-681.
  • Charles JF, Marchant JRV. Cassell’s Latin Dictionary, 1853-1936.
  • Simpson J, Weiner E. The Oxford English Dictionary, second edition: Oxford University Press, United Kingdom, 1989.
  • Malevergne Y, Sornette D. Extreme Financial Risks: From Dependence to Risk Management: Springer, 2006.
  • Adeleke IA. Modeling claim sizes in personal line non-life insurance. International Business and Economic Research Journal Februray 2011; volume 10 number 2.
  • Achieng OM. Actuarial modeling for insurance claim severity in motor comprehensive policy using industrial statistical distributions. International Congress of Actuaries; 7-12 March 2010; Cape Town.
  • Annual report about insurance and private pension activities. Republic of Turkey Prime Ministry Under secretariat of Treasury insurance Supervision Board, 2014.
Toplam 22 adet kaynakça vardır.

Ayrıntılar

Konular Mühendislik
Bölüm Araştırma Makalesi
Yazarlar

Betül Zehra Karagül

Murat Büyükyazıcı

Yayımlanma Tarihi 31 Aralık 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 18 Sayı: 5

Kaynak Göster

APA Karagül, B. Z., & Büyükyazıcı, M. (2017). DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering, 18(5), 951-961. https://doi.org/10.18038/aubtda.306784
AMA Karagül BZ, Büyükyazıcı M. DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY. AUBTD-A. Aralık 2017;18(5):951-961. doi:10.18038/aubtda.306784
Chicago Karagül, Betül Zehra, ve Murat Büyükyazıcı. “DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY”. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering 18, sy. 5 (Aralık 2017): 951-61. https://doi.org/10.18038/aubtda.306784.
EndNote Karagül BZ, Büyükyazıcı M (01 Aralık 2017) DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering 18 5 951–961.
IEEE B. Z. Karagül ve M. Büyükyazıcı, “DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY”, AUBTD-A, c. 18, sy. 5, ss. 951–961, 2017, doi: 10.18038/aubtda.306784.
ISNAD Karagül, Betül Zehra - Büyükyazıcı, Murat. “DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY”. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering 18/5 (Aralık 2017), 951-961. https://doi.org/10.18038/aubtda.306784.
JAMA Karagül BZ, Büyükyazıcı M. DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY. AUBTD-A. 2017;18:951–961.
MLA Karagül, Betül Zehra ve Murat Büyükyazıcı. “DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY”. Anadolu University Journal of Science and Technology A - Applied Sciences and Engineering, c. 18, sy. 5, 2017, ss. 951-6, doi:10.18038/aubtda.306784.
Vancouver Karagül BZ, Büyükyazıcı M. DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY. AUBTD-A. 2017;18(5):951-6.