Aktüerya Bilimleri Bölümü Tez Koleksiyonu
http://hdl.handle.net/11655/292
2019-10-19T13:03:34ZHayat Dışı Sigortalarda Doğrusal Olmayan Bağımlılığın Kopulalar ile Dinamik Finansal Analizi
http://hdl.handle.net/11655/5677
Hayat Dışı Sigortalarda Doğrusal Olmayan Bağımlılığın Kopulalar ile Dinamik Finansal Analizi
Karagül, Betül Zehra
In this study, with Dynamic Financial Analysis model approach that includes basic components for a non-life insurance company, two different simulation studies have been done. Non linear dependencies have been integrated into the model using the copulas. In line with the simulation study, these dependencies effects on the insurer s risk and return profile, the default risk and the ruin probability have been evaluated.Basic Information about Dynamic Financial Analaysis, dependence measures and copulas, that are main structure of the simulation studies which we done, have been given. The Copula families and DFA model framework which are used in the simulation study are detailed. The financial ratios, using for evaluating risk, return and performance of company, are mentioned.In the simulation studies for the same DFA model there are different dependence structures.
2013-01-01T00:00:00ZMultivariate Stochastic Prioritization Of Dependent Actuarial Risks Under Uncertainty
http://hdl.handle.net/11655/5565
Multivariate Stochastic Prioritization Of Dependent Actuarial Risks Under Uncertainty
Nevruz, Ezgi
The main prompting factor behind decision making is comparing or ordering risks. Risk management strategies should be based on the dynamics of stochastic ordering relations and influences of decision makers' tendencies on risk prioritization. The objective of this thesis is to construct a concept for stochastic risk prioritization of multivariate aggregate claims.
The definition of risk from perspectives of individuals, companies or governments may vary according to their risk perceptions, as risk is indicated not only by objective measures but also by subjective characteristics. In order to describe the risk accurately, the theoretical background of multivariate stochastic prioritization of dependent actuarial risks should be understood. For this aim, we familiarize ourselves with order theory that allows comparing and ordering objects characterized by multiple indicators.
Being an important issue of human behaviour, this area falls within the boundaries of several fields, one of which - public
health - is our specific interest. We intend to apply the order theory to a chosen risk area such as foodborne or agricultural risks, since they are rather vulnerable aspects of public health. Analytic tools may not always be sufficient for prioritization especially when we work on environmental risks. Hence, geographic information system is a useful tool for risk prioritization in such cases.
In this thesis, we aim to prioritize aggregate claim vectors of different risk clusters in agricultural insurance under the assumption that the individual claims exposed to similar environmental risks are dependent. For this purpose, first we obtain risk clusters for a crop-hail insurance portfolio considering spatial and temporal features of hazard regions. We propose an extended approach for differential evolution optimization which determines the optimal sample set used in inverse distance weighting with reduction technique. Second, we prioritize the aggregate claims taken as actuarial risks by using various stochastic ordering relations that are studied within the framework of partial order theory. These relations are stochastic dominance, stochastic majorization and stop-loss dominance. Having discussed the concept of risk itself, we also investigate the risk measures which could be sufficient and accurate criteria for determining the riskiness of a portfolio.
The classical first-order stochastic dominance is useful to design the risk prioritization context. We also suggest stochastic majorization relation according to multivariate representation of actuarial risks. This relation is very beneficial for our study since it enables us to order aggregate claim vectors partially using Schur-convex risk measures.
On the other hand, we consider the impacts of risk perception on prioritization of risks. Working within this context and attempting to contribute to it, we seek for a behavioral approach which could enhance and facilitate the description of the choices individuals make in risky situations. An example of such approaches could be cumulative prospect theory (CPT), as a more accurate alternative to expected utility theory. In the stop-loss dominance context, we adapt the zero-utility premium principle in order to obtain solutions for stop-loss premiums and propose stop-loss dominance relation under CPT.
2018-07-01T00:00:00ZDüzleştirme Splaynlarının Hayat Dışı Sigorta Ürünleri Fiyatlamada Etkileri
http://hdl.handle.net/11655/5475
Düzleştirme Splaynlarının Hayat Dışı Sigorta Ürünleri Fiyatlamada Etkileri
İlhan, Handan
The Generalized Linear Models (GLM) is one of the most commonly used methods of pricing non-life insurance products. The method gives a great advantage for selecting loss distribution from exponential family. Typically loss distributions are right-skewed and long-tailed which means the appropriate distributions are Poisson distribution for claim frequency and Gamma distribution for claim severity. Non-life insurance data involves several continuous variables. GLM categorizes the continuous variables into intervals and treats them as identical. However, categorizing the continuous variables method has no common rules and as a result of that it causes some information loss at the breaking points. Instead of categorizing the continuous variables there is an alternative method which is known as Generalized Additive Models. (GAM) provides an alternative modelling without transforming continuous variables into categorical variables. GAM method has same properties with GLM except a semiparametric model with a smoothing spline add-on. In other definition GAM is semiparametric GLM. The biggest advantage of GAM is that the model is flexible with semi-parametric formation. By flexibility we mean that continuous variables are to be included in the model as smoothing splines. In this case, the information on each point of the continuous variable is included in the model. The optimal value for the smoothing parameter is automatically selected by the cross-validation approach for the spline function.
The aim of this thesis is to study the use of cubic smoothing splines represented in the B-spline form for the effect of continuous variables in the GAM method. Generalized Additive Models and Generalized Linear Models is compared through the insurance loss dataset applications and the research question is answered.
2018-01-01T00:00:00Zİşsizlik Sigortası Fonunun Farklı Senaryolara Dayalı Aktüeryal Değerlendirmesi
http://hdl.handle.net/11655/4907
İşsizlik Sigortası Fonunun Farklı Senaryolara Dayalı Aktüeryal Değerlendirmesi
Gençgönül, Samet
National and international preventions are being taken everywhere in the world in order to keep the long term individual, social and economic effects of unemployment to the minimum. Unemployment insurance, which is one of the passive employment policies, is also being implemented to increase the involuntary decline of insured employees' welfare and to minimize the social effects. In 1999, unemployment insurance, which entered into our lives with the Law No: 4447 on Unemployment Insurance, attracts attention from the actuarial point of view because it has reached a significant fund value that every day more unemployed benefits.
In this study, the unemployment rate will take place in the coming years is estimated and the actuarial valuaiton of the Unemployment Insurance Fund was made with the estimations also taken from different institutions. Path analysis was used when determining the variables affecting the unemployment rate. After the variables were determined, the unemployment rate is estimated with the Artificial Neural Networks time series model. Finally, taking into account national data and estimates, as well as previous year events, the probable effects of all variables on the Unemployment Insurance Fund were examined under different scenarios. The effects of life expectancies were examined using two different mortality tables.
2018-05-17T00:00:00Z