Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
The Comparison of risk measures on claim distributions: Turkish motor insurance case
Download
index.pdf
Date
2018
Author
Telkes, Cansu
Metadata
Show full item record
Item Usage Stats
259
views
115
downloads
Cite This
In this thesis, the impact of various risk measures on pricing methodology of automobile insurance product by using the historical claim data which is obtained from one of the most reputable insurance company in Turkey is investigated. To model the distribution of claim experience for pricing methodology, four right skewed distributions are chosen, namely Gamma, Weibull, Lognormal and Pareto. Two classical methods, which are methods of moment estimation and maximum likelihood estimation, are used to estimate the parameters from the data. Lognormal distribution explains the data ideally. After estimating the parameters of loss distribution, premium and capital based risk measures are calculated. A comparison is done with the help of the coherency criteria for the result of risk measures as a favorable price of the automobile insurance products.
Subject Keywords
Insurance.
,
Automobile insurance.
,
Insurance
,
Insurance
URI
http://etd.lib.metu.edu.tr/upload/12622045/index.pdf
https://hdl.handle.net/11511/27254
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
Valuation of life insurance contracts using stochastic mortality rate and risk process modeling
Çetinkaya, Şirzat; Hayfavi, Azize; Department of Financial Mathematics (2007)
In life insurance contracts, actuaries generally value premiums using deterministic mortality rates and interest rates. They have ignored them stochastically in most of the studies. However it is known that neither interest rates nor mortality rates are constant. It is also known that companies may encounter insolvency problems such as ruin, so the ruin probability need to be added to the valuation of the life insurance contracts process. Insurance companies should model their surplus processes to price som...
Risk premium estimation in MTPL insurance using copula: Turkey case
Usta, Erdener; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016)
Motor third part liability (MTPL) insurance has a significant share among non-life or property- casualty insurance businesses in Turkey. Like most countries, it is compulsory while the premium is determined in the competitive market by companies contrary to the few other countries where regulator sets the rates. In this study,the present value of the mean pure premium per policy is estimated based on the simulations using Clayton copula probability distribution function which also defines the dependence struc...
Reinsurance pricing using exposure curve of two dependent risks
Akarsu, Gülçin; Kestel, Sevtap Ayşe; Lourdes Centeno, Maria de; Department of Actuarial Sciences (2018)
It is known that experience rating and exposure rating are used for insurance and reinsurance pricing by many practitioners. One of the main tools of exposure rating which is commonly used is exposure curves. It evaluates the percents of pure risk premium shared by insurer and reinsurer. In practice, the exposure curves which depend solely on claim history are widely utilized as an important indicator to determine the price and retention level based on the preferences and strategies of the insurer and reins...
Bivariate hidden markov model to capture the dependency in claim estimate
Oflaz, Zarina; Yozgatlıgil, Ceylan; Kestel, Sevtap Ayşe; Department of Statistics (2016)
Most actuarial models rely on an assumption that both claim counts and aggregate claim amounts are serially independent, that simplifies the study of many risk quantities. However, this hypothesis does not always reflect the reality and is too restrictive in different frameworks. Some weather or economic conditions reasonably affect the claim-causing events, as a result, it influences both the claim number and the claim amount distributions. The unobservable background factor can be characterized by a hidde...
INDEMNITY PAYMENTS IN AGRICULTURAL INSURANCE: RISK EXPOSURE OF EU STATES
Yildirak, Kasirga; Gülseven, Osman (2012-01-01)
This study estimates the risk contributions of individual European countries regarding the indemnity payments in agricultural insurance. We model the total risk exposure as an insurance portfolio where each country is unique in terms of its risk characteristics. The data has been collected from the recent surveys conducted by the European Commission and the World Bank. Farm Accountancy Data Network is used as well. 22 out of 26 member states are included in the study. The results suggest that the Euro-Medit...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
C. Telkes, “The Comparison of risk measures on claim distributions: Turkish motor insurance case,” M.S. - Master of Science, Middle East Technical University, 2018.
