Bernstein Kopula İle Hayat Dışı Sigortasında Bağımlılığın Modellenmesi
Özet
Copula is distribution functions which is used in modelling dependency between random
variables. For this reason, it is frequently used in dependency studies.
In this study, the effectiveness of the modeling of non-life insurance risks with the
Bernstein copula was examined by comparing with other copula models. Study’s data got
from an insurance company which is operating in the field of non-life insurance in Turkey.
This data includes paid incurred for 72 months in the area of traffic insurance, car
insurance, liability insurance (imm), residential fire insurance, residential theft insurance,
residential glass breakage insurance, personal accident insurance, seat personal accident
insurance and personal health insurances. First of all, car insurance-traffic, traffic-personal
health and car insurance-imm were selected which have high correlation between them.
Than the distribution and parameters of these data pairs were determined. In order to select
the model, Euclidean distances were calculated. Finally, for each copula model Risk
exposure values (VaR) were calculated.
The results of the study showed that it would be useful for insurance companies and
regulators to consider the Bernstein copula model in risk models.
