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Dergiler / Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics / 2025 / Volume: 74 Issue: 4

The assessment of insurance risk premium with a simulation study using Archimedean copulas

Kübra Durukan(KIRIKKALE ÜNİVERSİTESİ)0000-0002-2977-0901
Emel Kızılok Kara(Kırıkkale Üniversitesi)0000-0001-7580-5709
Sayfa
—
Yayın Tarihi
2025-12-24
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Specifically, it was concluded that risk-averse companies should set higher premiums, whereas risk-seeking companies may prefer lower premium levels.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This study aims to analyze the effects of risk-averse and risk-seeking attitudes on premium adjustments in dependent risk groups.
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Temel Bulgular & Veri:Using the risk aversion method, it examines how dependence structures modeled by different Archimedean copula families affect the premium strategies of insurance companies.
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Sonuç & Katkı:Specifically, it was concluded that risk-averse companies should set higher premiums, whereas risk-seeking companies may prefer lower premium levels.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Dependence · Archimedean copulas · risk aversion attitude

Abstract

This study aims to analyze the effects of risk-averse and risk-seeking attitudes on premium adjustments in dependent risk groups. Using the risk aversion method, it examines how dependence structures modeled by different Archimedean copula families affect the premium strategies of insurance companies. The study combines theoretical derivations with simulation-supported analyses and presents concrete examples to illustrate the impact of risk attitudes on premiums. In the first stage, bivariate risk aversion coefficients and risk premiums were theoretically determined for Archimedean copula families. Subsequently, a simulation study based on different Spearman correlation coefficients was conducted to numerically evaluate the effects of dependence on premium levels and risk behaviors. The findings show that dependence plays a significant role in shaping insurers’ risk behavior. Specifically, it was concluded that risk-averse companies should set higher premiums, whereas risk-seeking companies may prefer lower premium levels.

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Bu Makaleye Atıf Yap

Durukan, K., Kara, E. K. (2025). The assessment of insurance risk premium with a simulation study using Archimedean copulas. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, Volume: 74 Issue: 4. https://doi.org/10.31801/cfsuasmas.1583979

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