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.
Dynamic Financial Analysis Dependency between lines of business in insurance Copulas Non-life insurance
Konular | Mühendislik |
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Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 31 Aralık 2017 |
Yayımlandığı Sayı | Yıl 2017 Cilt: 18 Sayı: 5 |