Author/Authors :
karagül, betül zehra hacettepe university - faculty of science - department of actuarial science, Ankara, Turkey , büyükyazici, murat hacettepe university - faculty of science - department of actuarial science, Ankara, Turkey
Title Of Article :
DYNAMIC FINANCIAL ANALYSIS WITH DEPENDENCE BETWEEN MOTOR OWN DAMAGE INSURANCE AND COMPULSORY MOTOR INSURANCE USING COPULAS – THE CASE OF TURKEY
Abstract :
Dynamic Financial Analysis (DFA) is used by insurance companies for an efficient asset liability management and profit optimization; to measure ruin probability and reduce various risks. In this paper, the influence of the dependence between compulsory motor insurance and motor own damage 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. In the application non-life insurance data of Turkey is used.
NaturalLanguageKeyword :
Dynamic Financial Analysis , Dependency between lines of business in insurance , Copulas , Non , life insurance , Simulation
JournalTitle :
Anadolu University Journal of Science and Technology. A : Applied Sciences and Engineering
