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The Comparison of risk measures on claim distributions: Turkish motor insurance case
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Date
2018
Author
Telkes, Cansu
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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
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C. Telkes, “The Comparison of risk measures on claim distributions: Turkish motor insurance case,” M.S. - Master of Science, Middle East Technical University, 2018.
