Hayat Dışı Sigortalarda Doğrusal Olmayan Bağımlılığın Kopulalar ile Dinamik Finansal Analizi

Abstract

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.