Abstract
Sigorta şirketlerinin varlıklarını sürdürebilmeleri açısından hayat dışı branşlarda toplam hasarın dağılımının bulunması önemli bir konudur. Bu dağılımın belirlenebilmesi için toplam hasarı meydana getiren hasar miktarları ve hasar sayılarının dağılımlarının belirlenmesi gerekmektedir. Bu çalışmada bir sigorta şirketinin hayat dışı branşlarından biri olan kaza branşına ilişkin olarak 2009-2013 yıllarına ait çeyrek dönemlik verileri kullanılarak toplam hasar olasılıkları hesaplanmaya çalışılmıştır. Toplam hasar olasılıklarını hesaplamak için Panjer tarafından ortaya atılan özyineleme yöntemi (Panjer Yöntemi) kullanılmıştır. Yapılan hesaplamalar neticesinde şirketin toplam hasar seviyesi belirlenmiştir. 1. GİRİŞ
Keywords
Panjer özyineleme yöntemi kolektif risk modeli hayat dışı sigortalar toplam hasar miktarı sigorta şirketi
References
- Cram´er, H. (1930), On the Mathematical Theory of Risk. Skandia Jubilee Volume, Stockholm,p.1-8
- Dutang, C., Goulet, V., Pigeon,M. (2008), Actuar:An R package for Actuarial Science, Journal of Statistical software, p.1-37.
- Dickson, D. C. (2006), Collective Risk, Insurance Risk And Ruin, Cambridge: CambridgeUniversity Press,p.53
- Doğan, U. (2010), Sigorta Şirketlerinde Hasar Modellemesi, Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü, Sigortacılık Anabilim Dalı, p.33
- Kahn, P. M. (1962), An Introduction To Collective Risk Theory And Its Application To Stop-Loss Reinsurance,Transactions Of Society Of Actuaries 1962 Vol. 14 Pt. 1 No. 40, p.1-12
- Delignette-Muller,M.L. (2013), fitdistrplus:help to fit of a parametric distribution to non-censored or censored data, p.1-22
- İrven,P.B.,Güçyapar, G. (2011), “Kollektif risk modellemesinde Panjer Yöntemi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, p.139-149.
- Panjer, H. H. (2006), Operational Risk Modelling Analytics., John Wiley & Sons, Inc. Publication, p.75-77
- R. Kaas, Goovaerts, M., Dhaene, J., Denuit, M. (2008), Modern Actuarial Risk Theory Using R., Springer, p.48
- S. A. Klugman, Panjer, H. H. (2012), Loss Models: From Data to Decisions, Wiley, p.210
- Spencer L., Re, L. (2000), “An Overview of The Panjer Method For Deriving The Aggregate Claims Distribution.”, Lincoln National Reasurance Company, p.15-23
- Stuart A. Klugman, Panjer, H. H., Willmot, G.E. (2004), Loss Models. New Jersey,Wiley, p.84
Abstract
In terms of sustainability of insurance firms’ existence, fitting the total loss distribution of non-life branches is an important issue. Damage amount and damage frequency distributions which are consisting the total damage must be known to determine this total loss distribution. In this paper, we have used an insurance firm’s quarterly data set of 2009-2013 years period regarding to accident branch which is a kind of non-life insurance branch and tried to calculate total loss probabilities. The recursive method (Panjer Method) first studied out by Panjer have been used to calculate total loss probabilities. In consequence of all calculations the total loss level of the firm have been determined.
References
- Cram´er, H. (1930), On the Mathematical Theory of Risk. Skandia Jubilee Volume, Stockholm,p.1-8
- Dutang, C., Goulet, V., Pigeon,M. (2008), Actuar:An R package for Actuarial Science, Journal of Statistical software, p.1-37.
- Dickson, D. C. (2006), Collective Risk, Insurance Risk And Ruin, Cambridge: CambridgeUniversity Press,p.53
- Doğan, U. (2010), Sigorta Şirketlerinde Hasar Modellemesi, Marmara Üniversitesi Bankacılık ve Sigortacılık Enstitüsü, Sigortacılık Anabilim Dalı, p.33
- Kahn, P. M. (1962), An Introduction To Collective Risk Theory And Its Application To Stop-Loss Reinsurance,Transactions Of Society Of Actuaries 1962 Vol. 14 Pt. 1 No. 40, p.1-12
- Delignette-Muller,M.L. (2013), fitdistrplus:help to fit of a parametric distribution to non-censored or censored data, p.1-22
- İrven,P.B.,Güçyapar, G. (2011), “Kollektif risk modellemesinde Panjer Yöntemi”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, p.139-149.
- Panjer, H. H. (2006), Operational Risk Modelling Analytics., John Wiley & Sons, Inc. Publication, p.75-77
- R. Kaas, Goovaerts, M., Dhaene, J., Denuit, M. (2008), Modern Actuarial Risk Theory Using R., Springer, p.48
- S. A. Klugman, Panjer, H. H. (2012), Loss Models: From Data to Decisions, Wiley, p.210
- Spencer L., Re, L. (2000), “An Overview of The Panjer Method For Deriving The Aggregate Claims Distribution.”, Lincoln National Reasurance Company, p.15-23
- Stuart A. Klugman, Panjer, H. H., Willmot, G.E. (2004), Loss Models. New Jersey,Wiley, p.84
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | October 16, 2015 |
| Published in Issue | Year 2014 Volume: 1 Issue: 4 |
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