Uç değerler ve risk analizi : Bazı modeller ve uygulamalar

Abstract

In this work, a risk analysis case of several portfolios are considered, such that claim sizes are Pareto distributed, claim sizes exceed a high threshold, and every portfolio arises from group dependent risk groups. We utilized the Generalized Extreme Value distribution proposed by Tawn (1990) for distribution of maximum claim size variables. Three cases for aggregate claims were handled in risk analysis: Claim sizes with Pareto distrubition, maximum value claim sizes, and claim sizes in case of completed observations. For every case, the relations between the factors of risk management, namely risk premium, risk reserve, safety loading, solvency ratio and net retention were presented. Regarding each case; the following were found: If risk premium increases risk reserve increases, if safety loading is higher than initial capital, no risk reserve is necessary at all. Moreover; net retention ümit was observed to be decreasing when large risks exist for the same risk reserve value. 2001, 96 pages Key Words : Risk Processes, Extreme Values, Ruin Probability, Risk Management