Sigorta Hasar Verilerine Eğri Normal Dağılımın Uygulanması
Çok sayıda küçük ve az sayıda büyük kayıpları içeren sigortacılık verileri genellikle normal dağılım sergilememektedir. Bu çalışmada, sigorta hasar verilerine eğri normal ve diğer parametrik dağılımlar uygulanmıştır. Ayrıca uygunluk ölçüleri ile bazı kuyruk riski ölçüleri de çalışmada verilmiştir. Sonuçlar eğri normal dağılımların diğer parametrik yöntemlere göre daha iyi sonuçlar verdiğini göstermiştir. Ayrıca elde edilen sonuçlar literatürdeki diğer sigorta verileri üzerine yapılan çalışmalarla da tutarlıdır.
Anahtar Kelimeler:
Sigorta, Riske Maruz Değer, VaR, Koşullu Riske Maruz Değer, Eğri Dağılımlar, Hasar.
Skewed Distributions for Fitting Insurance Claims
Insurance data, which includes a large number of small losses and a lower number of very large losses, is generally non-normally distributed. In this paper, we apply skewed distributions and other parametric distributions to our data. In addition to goodness of fit tests we also provide tail risk measures. The results represent that skewed distributions perform better than the other models. Our results are consistent with the related papers which use different insurance data sets in the literature.
Keywords:
Insurance, Value at Risk, VaR, Conditional Value at Risk, Skewed Distributions, Claims,
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- Yayın Aralığı: Yılda 4 Sayı
- Yayıncı: Denta Florya ADSM Limited Company
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Geliş Zamanlarının Farklı Olduğu Öğrenme Etkili Tek Makine Çizelgelemede Toplam Gecikmenin Çözümü
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Sigorta Hasar Verilerine Eğri Normal Dağılımın Uygulanması