Developing the internal models which will contribute to the efficiency of Solvency II system is important as well as developing a scale, based on these models, for the early warning measurement of life and non-life companies. Determination of the life and non-life companies' capital requirement under the their equity and financial indicators leads us to build internal models custom-tailored for the company. Aim of this project is to determine the factors which are effective under the framework of Solvency II for both life and non-life insurances and to propose a comprehensive model which is based on these factors. In addition, the validity of the dependence measurements suggested by existing standard model and under the framework of  regulations for Turkish sector will be discussed via copula approach.

Collaborators

• A. Sevtap Selçuk-Kestel, Institute of Applied Mathematics, METU (Director)
• Etkin Hasgül,   Institute of Applied Mathematics, METU  (Researcher)
• Gülçin Akarsu, Institute of Applied Mathematics, METU (Researcher)
• Bükre Yıldırım Külekci, Institute of Applied Mathematics, METU (Researcher)
• Meral Şimşek, Institute of Applied Mathematics, METU (Researcher)
• Özenç Murat Mert, Institute of Applied Mathematics, METU (Researcher)

Funded by  BAP-07-05-2017-003,  January 1 2017 - December 31 2018