Dinamik finansal analiz: Hayat dışı sigorta şirketi için sayısal örnek

Yıl 2010, Cilt: 3 Sayı: 2, 69 - 85, 30.12.2010

Hakan Yılmaz Murat Büyükyazıcı

Öz

Bu genel aç klamalara yer verilmi tir. Ayr ca bu de"i kenler aras ndaki ili kilerden yararlanarak genel bir model kurulmu ve bu modelin benzetimi yap lm t r. Say sal örnekte, varsay msal bir hayat d sigorta irketinin farkl yat r m stratejilerine göre beklenen iflas olas l klar ve art k miktarlar hesaplanm t r. Çal madaki stokastik de"i kenlerin modellenmesinde baz istatistiksel da" l mlar ve finansal modeller kullan lm t r. Say sal örnekten elde edilen sonuçlar incelendi"inde, riskli yat r m tercihlerinin beklenen art k miktar n ve iflas olas l " n nas l etkiledi"i görülmektedir. Çal mada kurulan genel modelin Türk sigorta piyasas na katk da bulunaca" dü ünülmü , modelin geli tirilebilmesine ili kin önerilerde bulunulmu tur

Anahtar Kelimeler

Dinamik finansal analiz, Varl k-yükümlülük yönetimi, Stokastik benzetim, Faiz oranmodeli, Hasar ödeme modeli

Dynamic financial analysis: A numerical example for a nonlife insurance company

Öz

This study presents an overview of a dynamic financial analysis model with stochastic variables.

Furthermore, a general model was set up by using the relationships between that variables and this model

was simulated. In that simulation, expected ruin probabilities and economic surplus are evaluated by various

investment strategies of the fictious nonlife insurance company. To model the stochastic variables in this study,

some statistical distributions and financial models were used. Effects of the risky investment strategies on the

expected surplus and ruin probability can be seen by examining the numeric example results below. It is

thought that the general model in this study will contribute to the Turkish insurance market and some

proposals are made concerning the development of the model.

Anahtar Kelimeler

Dynamic financial analysis, Asset-liability management, Stochastic simulation, Interest rate model; Payment patterns.

Kaynakça

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