Some composite models and their application to turkish motor insurance data
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Tarih
2019
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Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
It is important for an insurance company to predict the future claims in order to evaluate premiums, to determine the reservenecessary to meet its obligation and probabilities of ruin, etc. as the claim data is highly positively skewed and has heavy tail,no standard parametric model seems to provide an acceptable fit to both small and large losses. Composite models that use onestandard distribution up to a threshold and other standard distribution thereafter are developed and it is seen that these compositemodels provide better fit than the standard models when claim data involve small and high claims.The aim of this study is to investigate the use of the composite models namely Exponential-Pareto, Weibull-Pareto andLognormal-Pareto to model the Turkish Motor Insurance claim data. From the results obtained, it is concluded that thecomposite Weibull-Pareto model provides better fit to Turkish Motor Insurance claim data than the all other models considered.
Açıklama
Anahtar Kelimeler
Kaynak
Eskişehir Teknik Üniversitesi Bilim ve Teknoloji Dergisi b- Teorik Bilimler
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Cilt
7
Sayı
2
