Browsing by Author "Sert, Tevhide"

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    Master Thesis
    Veri üçgeninde negatif değerler bulunduğunda bayes ve stokastik modellerle hasar rezervlerinin karşılaştırılması
    (2013) Sert, Tevhide; Özgürel, Banu
    It is stated that claims payments made gradually over the years with negative values creates problem for insurance company reserves. In this study, the claims reserves consisting negative values, has been converted to positive values by using Bayesian and Stochastic Chain Ladder method. For this method, Prof. R. L. Brown?s American Insurance Company data have been used. During the application part, two models of a study have been chosen. The first one is; Alba?s (2006) which is implementation of Bayesian Chain Ladder Models, second is the studies of Renshaw and Verrall?s (1998) which is implementation of the Stochastic Chain Ladder Models with negative values of claims have been based on with applying R programming language. In this study, by comparing two models their positive and negative aspects have been presented. Keywords: IBNR, Chain Ladder Method, Negative Values in Run-off Triangle, Bayesian Approach, Stochastic Model.