Türkiye zorunlu trafik sigortası dalında toplam hasar rezervi tahminlerinin hata kareler ortalaması
Bu çalışmada, gelecek yııllarr boyunca kademeli yapılacak olan hasar ödemeleri ve bu ödemelerin toplamındanoluan hasar rezervleri, zincir merdiven yöntemi ile tahmin edilmiştir. Ayrıca bu yöntem ile elde edilen hasar
Anahtar Kelimeler:
Hasar rezervi tahmini, zincir merdiven yöntemi, hata kareler ortalamas , zorunlu trafik sigortas
Mean Square Error of Total Claims Reserve Prediction in the Mandatory Traffic Insurance of Turkey
In this study, claims payments which will be made over the years gradually in the future and loss reserveswhich are total of these claims payments will be predicted by using chain ladder method. Also, estimators thatwere introduced in the studies of Wüthrich and Merz (2008) and Mack (1993) will be given for the meansquare error of the ultimate claim reserve. In application part of this study, the cumulative claims triangle dataof 22 companies serving in the mandatory traffic insurance for the 2004 – 2010 period are used. Twoaforementioned estimators were applied and mean square error predictions and variational coefficients werecomputed for 22 companies. Finally, average variational coefficient for total claims reserves for any companyworking in this insurance sector was calculated. Thus, an opportunity will be given to the insurance companiesfor making a stochastical assessment of the total claim reserve estimate’s quality.
Keywords:
Prediction of loss reserve, chain-ladder method, mean square error, mandatory traffic insurance.,
___
- G. Barnett, B. Zehnwirth, 2000, Best Estimates for Reserves, Proceedings of Casualty Actuarial Society, Vol.LXXXVII, Part 2, No.167, 245-321.
- G. Barnett, D. Odell, B. Zehnwirth, 2008, Meaningful Intervals, Casualty Actuarial Society E-Forum, Fall 2008.
- A. Gisler, 2006, The Estimation Error in the Chain Ladder Reserving Method:A Bayesian Approach. Astin Bulletin 36/2, 554-565.
- A. Gisler, M.V. Wüthrich, 2007, Credibility for the Chain Ladder Reserving Method. Conference Paper, 37th. Astin Colloquium 2007, Orlando, USA.
- C.A. Hachemeister, J.N. Stanard, 1975, IBNR Claims Count Estimation with Static Lag Functions. Astin Colloquium 1975, Portimão, Portugal.
- Hazine Müste arl 2 ’n n Aktüeryal Zincirleme Merdiven Metoduna Ali kin 20.09.2010 tarih ve 2010/12 say l Genelgesi. http://www.hazine.gov.tr/irj/portal/anonymous?NavigationTarget=navurl://3c71afc847262b8a5d4568ffcf28 d0df&LightDTNKnobID=1890605360.
- A. Ludwig, K.D. Schmidt, 2010, Gauss-Markov Loss Prediction in a Linear Model. Casualty Actuarial Society E-Forum, Fall 2010.
- T. Mack, 1991, A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves. Astin Bulletin 21/1, 93-109.
- T. Mack, 1993, Distrubution-free calculation of the Standard Error of Chain Ladder Reserve Estimates, Astin Bulletin 23/2, 213-225.
- A.E. Renshaw, 1989, Chain Ladder and Interactive Modelling (Claims Reserving and GLIM). J.Institute Actuaries 116, 559-587.
- A.E. Renshaw, R.J. Verrall, 1998, A Stochastic Model Underlying the Chain Ladder Technique. British Actuarial J. 4/4, 903-923.
- R. Schnieper, 1991, Separating True IBNR and IBNER Claims. Astin Bulletin 21/7, 111-127.
- G.G. Venter, 1998, Testing the Assumptions of Age-to-age Factors. Proc. CAS, Vol. LXXXV, 807-847.
- R.J. Verrall, 1989, A State Space Representaiton of the Chain Ladder Linear Model. J.Institute Actuaries 116, 589-609.
- M.V. Wütrich, M. Merz, 2008, Stochastic Claims Reserving Methods in Insurance, 1-90.
- ISSN: 1308-0539
- Yayın Aralığı: Yılda 2 Sayı
- Başlangıç: 2008
- Yayıncı: Aktüerya Derneği
Sayıdaki Diğer Makaleler
Bulanık kümeleme analizi ile ülkelerin turizm istatistikleri bakımından sınıflandırılması
İbrahim KILIÇ, Oktay EMİR, Gonca KILIÇ
Türkiye zorunlu trafik sigortası dalında toplam hasar rezervi tahminlerinin hata kareler ortalaması
G. Demir AY, Murat BÜYÜKYAZICI
Yasemin GENÇTÜRK, Tuğba TUNÇ, Duygu İÇEN, Süleyman GÜNAY
Monte Carlo stokastik optimizasyonu ile optimal saklama payı seviyesi hesabı