Uluslararası Ticaret ve Finans Bölümü Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.12469/67

Browse

Browsing Uluslararası Ticaret ve Finans Bölümü Koleksiyonu by browse.metadata.publisher "Elsevier Science"

Filter results by typing the first few letters
Now showing 1 - 3 of 3
  • Thumbnail Image
    Article
    Citation - WoS: 5
    Citation - Scopus: 6
    Computing 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 Lütfi
    In 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.
  • Thumbnail Image
    Article
    Citation - WoS: 1
    Citation - Scopus: 1
    Measurement of Bivariate Risks by the North-South Quantile Points Approach
    (Elsevier Science, 2014) Kara, Emel Kızılok; Gebizlioğlu, Ömer Lütfi
    This 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.
  • Thumbnail Image
    Article
    Citation - WoS: 6
    Citation - Scopus: 6
    On Concomitants of Upper Record Statistics and Survival Analysis for a Pseudo-Gompertz Distribution
    (Elsevier Science, 2014) Yorubulut, Serap; Gebizlioğlu, Ömer Lütfi
    This 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.