Yatırımlar ve hasarlar arasındaki bağımlılığın Türkiye hayat dışı sigorta şirketlerinin finansal analizine etkisi

Öz

Bu çalışmada Türkiye sigorta sektörü verisinden elde edilen parametreler ile yatırımlar ve hasarlar arasındaki bağımlılığın bir hayat dışı sigorta şirketinin finansal analizine etkisi incelenmiştir. Bu amaçla hayat dışı sigorta şirketi için en temel bileşenlerin kullanıldığı ve doğrusal olmayan bağımlılığı da içeren Dinamik Finansal Analiz modeli yaklaşımıyla benzetim çalışması yapılmıştır. Modele doğrusal olmayan bağımlılıklar kopula kullanılarak dahil edilmiştir. Yapılan benzetim ile bu bağımlılıkların sigortacının risk ve kar profiline ve şirketin yükümlülüğünü yerine getirememe riski ile iflas olasılığına olan etkileri ölçülmüştür.

Anahtar Kelimeler

• Hayat dışı sigorta,Dinamik Finansal Analiz,Benzetim,Kopula; Risk ve performans ölçümü,Bağımlılık

The effect of dependency between investments and losses on Turkey’s non-life insurance companies’ financial analysis

Öz

In this study, it is aimed to examine the effects of the dependence between investments and losses on the financial analysis of a non-life insurance company with the parameters obtained from the Turkey insurance sector data. For this purpose, we have a simulation study with the Dynamic Financial Analysis model approach, which includes the most basic components for a non-life insurance company and includes non-linear dependency. Nonlinear dependencies are integrated into the model using copulas. We evaluate the influence of these dependencies on insurers’ risk and return profile; ruin probabilty and solvency risk.

Anahtar Kelimeler

• Non-lfe insurance,Dynamic Financial Analaysis,Simulation,Copula,Risk and performance measurement,Dependency

Kaynakça

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