Risk measurement for motor third party liability insurance in Turkey
1Hacettepe Üniversitesi, Fen Fakültesi, Aktüerya Bilimleri Bölümü, Beytepe-ANKARA
Sigma J Eng Nat Sci 2015; 33(1): 103-111
Abstract
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.
Keywords: Risk measure, generalized linear models, motor third party liability insurance.
