Risk premium estimation in mtpl insurance using copula:Turkey case

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Aktüerya Bilimleri Anabilim Dalı, Türkiye

Tezin Onay Tarihi: 2016

Öğrenci: ERDENER USTA

Danışman: SEVTAP AYŞE KESTEL

Özet:

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 structure. We define also development factor, which determines the time required till the ultimate claim settlement takes place. Afterwards, loss severity-frequency method is applied to pure premium obtained using the joint distribution function of claim size and development factor defined by Clayton copula to find the present value of pure premium per policy. In addition, in case of underwritten premium without loadings and taxes are lower than the pure premium,analternative technical reserve type called, premium risk reserve,is introduced to aid the regulators.