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

Year 2017, Volume: 18 Issue: 5, 951 - 961, 31.12.2017

Betül Zehra Karagül Murat Büyükyazıcı

https://doi.org/10.18038/aubtda.306784

Abstract

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.

Keywords

Dynamic Financial Analysis, Dependency between lines of business in insurance, Copulas, Non-life insurance

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