The comparison of risk measures on claim distributions: Turkish motor insurance 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: 2018

Tezin Dili: İngilizce

Öğrenci: CANSU TELKES

Asıl Danışman (Eş Danışmanlı Tezler İçin): Sevtap Ayşe Kestel

Eş Danışman: Fatih Tank

Özet:

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.