RISK MEASUREMENT FOR MOTOR THIRD PARTY LIABILITY INSURANCE IN TURKEY


Acar A. S. , KARABEY U.

SIGMA JOURNAL OF ENGINEERING AND NATURAL SCIENCES-SIGMA MUHENDISLIK VE FEN BILIMLERI DERGISI, cilt.33, ss.103-111, 2015 (ESCI İndekslerine Giren Dergi) identifier

  • Cilt numarası: 33 Konu: 1
  • Basım Tarihi: 2015
  • Dergi Adı: SIGMA JOURNAL OF ENGINEERING AND NATURAL SCIENCES-SIGMA MUHENDISLIK VE FEN BILIMLERI DERGISI
  • Sayfa Sayıları: ss.103-111

Özet

In this study, a motor third party liability insurance data set is examined, claim amounts are modeled and risk measures are calculated according to the significant explanatory variables. Value at Risk and Expected Short Fall methods are used for the risk measures. With the risk measures calculated for three different confidence levels, maximum losses for various risk classes are achieved and the results are compared.