Uluslararası Ticaret ve Finans Bölümü Koleksiyonu
Permanent URI for this collectionhttps://hdl.handle.net/20.500.12469/67
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Browsing Uluslararası Ticaret ve Finans Bölümü Koleksiyonu by Journal "Journal of Computational and Applied Mathematics"
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Article Citation - WoS: 11Citation - Scopus: 11Bivariate Pseudo-Gompertz Distribution and Concomitants of Its Order Statistics(Elsevier Science Bv, 2013) Yorubulut, Serap; Gebizlioğlu, Ömer LütfiThis paper presents a new bivariate Pseudo-Gompertz distribution that sprouts from the classical Gompertz distribution and possesses the features of pseudo-distribution functions. In addition to some standard properties of the proposed distribution distributions of order statistics and their concomitants for samples drawn from the new distribution are obtained. The survival and hazard functions of the concomitants are shown and their values are tabled. Interpretations of the results are given in connection with risk events and risk management. (C) 2013 Elsevier B.V. All rights reserved.Article Citation - WoS: 5Citation - Scopus: 6Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences(Elsevier Science, 2017) Eryilmaz, Serkan; Gebizlioğlu, Ömer LütfiIn this paper we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular we obtain expressions for the finite time non-ruin probability and the joint distribution of the time to ruin the surplus immediately before ruin and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.Article Citation - WoS: 1Citation - Scopus: 1A Max–min Model of Random Variables in Bivariate Random Sequences(Elsevier, 2021) Bayramoğlu, Ismihan; Gebizlioğlu, Ömer LütfiWe introduce a max–min model to bivariate random sequences and applying bivariate binomial distribution in fourfold scheme derive the distributions of associated order statistics in a new model. Some examples for special cases are presented and applications of the results in reliability analysis and actuarial sciences are discussed.Article Citation - WoS: 1Citation - Scopus: 1Measurement of Bivariate Risks by the North-South Quantile Points Approach(Elsevier Science, 2014) Kara, Emel Kızılok; Gebizlioğlu, Ömer LütfiThis paper attempts to determine the Value at Risk (VaR) and Conditional Value at Risk (CVaR) measures for the sum of bivariate risks under dependence. The computation of these risk measures is performed by the north-south quantile points of bivariate distributions. The Farlie-Gumbel-Morgenstern (FGM) copula model is chosen to express dependence of bivariate risks. The behaviors of VaR and CVaR are examined by varying dependence parameter values of the copula model and probability levels of the risk measures. The findings are interpreted from the view point of portfolio risk management. (C) 2013 Elsevier B.V. All rights reserved.Article Citation - WoS: 6Citation - Scopus: 6On Concomitants of Upper Record Statistics and Survival Analysis for a Pseudo-Gompertz Distribution(Elsevier Science, 2014) Yorubulut, Serap; Gebizlioğlu, Ömer LütfiThis paper presents upper record statistics and their concomitants for a bivariate pseudo-Gompertz distribution about paired lifetime variables. Survival and hazard functions are derived for the distribution. The survival and hazard functions are displayed for some selected values of the parameters of concern. Interpretations are given for the potential reliability and actuarial applications of the obtained results. (C) 2013 Elsevier B.V. All rights reserved.Editorial Citation - Scopus: 1Recent Advances in Applied and Computational Mathematics: Icacm-Iam(Elsevier, 2014) Akyildiz, Ersan; Gebizlioğlu, Ömer Lütfi; Karasözen, Bülent; Uğur, Ömür; Weber, Gerhard Wilhelm[Abstract Not Available]