Assessment of Solvency II requirements for Turkish insurance market

Download
2016
Höbek, Mehmet
Solvency II is the new capital regime being in force as of January 2016 in European Union (EU). It has brought profound changes to the previous one, namely Solvency I, by introducing new methods for the calculation of solvency capital requirement (SCR) of insurance and reinsurance companies. Besides the standard formula which is composed of sub-modules for the calculation of different risks, insurance companies are also allowed to use their partial or full internal models for the calculation of SCR. Since being also discussed recently in Turkish insurance market, this study analyzes the impact of Solvency II to Turkish insurance companies by comparing the standard formula and internal model results based on real data using copulas. The study focuses on non-life premium and reserve risk calculation using both the standard formula and the internal model for three insurance companies of different sizes. Solvency II assumes that the premium and reserve risks for all segments are lognormal distributed and linearly correlated and aggregates the risks for the segments using predetermined correlation coefficients. Since companies are also allowed to use internal models and parameters based on their real data for the calculation of SCR, we used copulas to model the dependence between segments and calculate the SCR for the aggregated risks using Value-at-Risk (VaR) and Monte Carlo simulation. The proposed methodology is applied to motor vehicle liability (MTPL) and other motor (motor) segments’ data over the years 2009-2015. The internal model results for SCR are then compared for the three companies and the rest of the insurance sector with the results of Solvency II standard formula with respect to their size and the current Turkish solvency capital regime.

Suggestions

A guideline for earthquake risk management of historical structures in Turkey
Ahunbay, Zeynep; Altay, Gülay; Arun, Emine Görün; Aydemir, Olcay; Atasagun, Fevziye Deniz; Celep, Zekai; Erberik, Murat Altuğ; İlki, Alper; Kuran, Fikret; Ünal, Zeynep Gül; Aköz, Fevziye; Olgun, Nilgün; Şimşek, Muradiye; Kaya, Yalçın; Uçar, Yunus (2017-10-13)
Turkey is one of the most earthquake-prone countries in Europe. In the past, many destructive earthquakes occurred in Turkey, in which numerous historical structures were damaged seriously or even collapsed. In spite of the high seismic hazard in Turkey, unfortunately there exists no technical document regarding the seismic assessment and rehabilitation of historical structures. Considering this issue, efforts to prepare an advisory guideline document for architects and engineers regarding seismic risk asse...
Determination of adequate funding for unemployment insurance in Turkey
Yıldırım, Hacı Burak; Kestel, A. Sevtap; Department of Financial Mathematics (2019)
This thesis analyzes future affordability of unemployment insurance fund (UIF) by determining future income of UIF with occurrence of additional expense which is support and incentive payment to firms, in Turkey. Main goal in this thesis work is to study how monthly income of fund can afford support expenses which is being implemented for last one and a half year by fund managers in Turkey. ARIMA model is built for unemployment rate and autoregression model is constructed for predicting future of UIF. Analy...
Discussion and evaluation of mining and environment laws of Turkey with regard to eu legislation
Şafak, Şükrü; Bilgin, Hasan Aydın; Department of Mining Engineering (2006)
Turkey is trying to become a member of the European Union. Within this frame, studies are proceeding for harmonization of the Turkish legislation with the EU legislation. European legislation might have positive or negative impact on the mineral extraction industry and national mining law. Since there is no title directly related to mining policy in the EU legislation the mining policy of EU was evaluated especially under the titles“energy” and “environment”. In this thesis, the Turkish mining regulations a...
THE EU ASYLUM POLICY IN TIMES OF CRISIS: REGULATORY GOVERNANCE THROUGH AGENCIES
Canlar, Eray; Kahraman, Sevilay; Department of International Relations (2022-7-20)
This thesis explores the historical evolution of the regulatory governance of the European Union (EU) in different policy fields, mainly focusing on the EU asylum policy. Utilizing historical institutionalism and securitization literature, the thesis seeks to examine the regulatory governance of the EU asylum policy which, like the other policy field examples, displays a security-oriented and crisis-driven institutional path dependency that leads to regulatory agencification processes. Moreover, the thesis ...
The production of a mise en scene for a nation and its subjects: Clemens Holzmeister et al. in the Ministries Quarter for Ankara, Turkey
Cengizkan, Ali (Informa UK Limited, 2010-01-01)
The Ministries Quarter, the MQ, in Ankara, the capital of Turkey, is a very interesting case for modern planning and architecture, conceptualised and developed in the first quarter of the twentieth century. As with other governmental centres and administrative hubs, it was attributed the mission of representing the political power of the newly born nation, facilitating physical, symbolic, cultural and historic channels of producing meaning. However, the successive intervention and involvement of architects,...
Citation Formats
M. Höbek, “Assessment of Solvency II requirements for Turkish insurance market,” M.S. - Master of Science, Middle East Technical University, 2016.