RISK MEASUREMENT FOR MOTOR THIRD PARTY LIABILITY INSURANCE IN TURKEY

Year 2015, Volume: 33 Issue: 1, 103 - 111, 01.03.2015

Aslıhan Şentürk Acar Uğur Karabey

Abstract

In this study, a motor third party liability insurance data set is examined, claim amounts are modeled and risk measures are calculated according to the significant explanatory variables. Value at Risk and Expected Short Fall methods are used for the risk measures. With the risk measures calculated for three different confidence levels, maximum losses for various risk classes are achieved and the results are compared.

Keywords

Risk measure, generalized linear models, motor third party liability insurance.

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