Dinamik finansal analiz: Hayat dışı sigorta şirketi için sayısal örnek

Abstract

Bu genel aç klamalara yer verilmi tir. Ayr ca bu de"i kenler aras ndaki ili kilerden yararlanarak genel bir model kurulmu ve bu modelin benzetimi yap lm t r. Say sal örnekte, varsay msal bir hayat d sigorta irketinin farkl yat r m stratejilerine göre beklenen iflas olas l klar ve art k miktarlar hesaplanm t r. Çal madaki stokastik de"i kenlerin modellenmesinde baz istatistiksel da" l mlar ve finansal modeller kullan lm t r. Say sal örnekten elde edilen sonuçlar incelendi"inde, riskli yat r m tercihlerinin beklenen art k miktar n ve iflas olas l " n nas l etkiledi"i görülmektedir. Çal mada kurulan genel modelin Türk sigorta piyasas na katk da bulunaca" dü ünülmü , modelin geli tirilebilmesine ili kin önerilerde bulunulmu tur

Keywords

• Dinamik finansal analiz, Varl k-yükümlülük yönetimi, Stokastik benzetim, Faiz oranmodeli, Hasar ödeme modeli

Dynamic financial analysis: A numerical example for a nonlife insurance company

Abstract

This study presents an overview of a dynamic financial analysis model with stochastic variables.

Furthermore, a general model was set up by using the relationships between that variables and this model

was simulated. In that simulation, expected ruin probabilities and economic surplus are evaluated by various

investment strategies of the fictious nonlife insurance company. To model the stochastic variables in this study,

some statistical distributions and financial models were used. Effects of the risky investment strategies on the

expected surplus and ruin probability can be seen by examining the numeric example results below. It is

thought that the general model in this study will contribute to the Turkish insurance market and some

proposals are made concerning the development of the model.

Keywords

• Dynamic financial analysis,Asset-liability management,Stochastic simulation,Interest rate model; Payment patterns.

References

1. Ahlgrim, K.C., D’Arcy, S.P., Gorvett, R.W., 1999, Parametrizing Interest Rate Models, Casualty Actuarial Society Forum, 1-50.
2. Blum, P., Dacarogna, M., Embrechts, P., Neghaiwi, T., Niggli, H., 2001, Using DFA for Modelling the Impact of Foreign Exchange Risks on Reinsurance Decisions, Casualty Actuarial Society Forum.
3. Casualty Actuarial Society, 1999, DFA Research Handbook, Dynamic Financial Analysis Committee, Arlington, VA:CAS.
4. D’Arcy, S.P., Gorvett, R.W., 2004, The Use of Dynamic Financial Analysis to Determine Whether an Optimal Growth Rate Exists for a Property-Liability Insurer, Journal of Risk and Insurance, 71, 583-615.
5. Eling, M., Parnitzke, T., Schmeiser, H., 2008, Management Strategies and Dynamic Financial Analysis, Variance, 2(1), 52-70.
6. Emma, C.C., 1999, Overview of Dynamic Financial Analysis, The Dynamic Financial Analysis Committee of the Casualty Actuarial Society, 14s.
7. Fama, E.F., French, K.R., 2003, The CAPM: Theory and Evidence, Center for Research in Security Prices Working Paper, 550, 27s.
8. Jones, B.L., Ren, J., 2006, Underwriting Cycle and Ruin Probability, University of Western Ontario.

9. Kaufmann, R., Gadmer, A., Klett, R., 2001, Introduction to Dynamic Financial Analysis, ASTIN Bulletin, 31(1), 213-249.
10. Lowe, S.P., Stanard, J.N., 1997, An Integrated Dynamic Financial Analysis and Decision Support System for a Property Catastrophe Reinsurer, Astin Bulletin, 27, 339-371.
11. Majumdar, C., 2007, Dynamic Financial Analysis as the untrodden path for company risk measurement under Solvency-II, 37th ASTIN- Florida,USA.
12. Mishkin, F.S., 1992, Is The Fisher Effect For Real?, Journal of Monetary Economics, 30, 195-215.
13. Schmeiser, H., 2004, New Risk Based Capital Standarts in the EU: A Proposal Based on Empirical Data, Risk Management and Insurance Review, 7, 41-52.
14. Temizkaya, Ü.B., 2006, Finansal Varl klar Fiyatlama Modeli ve JMKB Uygulamas , Marmara Üniversitesi Sosyal Bilimler Enstitüsü, Wstanbul, 141s.
15. Ural, Ö., 2006, A Half Century Debate: CAPM and Its Empirical Testing For ISE, Wzmir Ekonomi Üniversitesi Sosyal Bilimler Enstitüsü, Wzmir, 127s.
16. Y lmaz, H., 2009, Sigortac l kta Dinamik Finansal Analiz, Yüksek Lisans Tezi, Hacettepe Üniversitesi Fen Bilimleri Enstitüsü, Ankara, 60s.