Browsing by Author "Gebizlioǧlu, Ömer Lütfi"
Now showing items 1-11 of 11
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A Pseudo-Pareto Distribution and Concomitants of Its Order Statistics
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Publisher and Date:(Springer, 2016)Pareto distributions are very flexible probability models with various forms and kinds. In this paper a new bivariate Pseudo-Pareto distribution and its properties are presented and discussed. Main variables order statistics and concomitants of this distribution are studied and their importance for risk and reliability analysis is explained. Joint and marginal distributions complementing cumulative distributions and hazard functions of the variables are derived. Numerical illustrations graphical ...
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An accumulation phase simulation for pension funds
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Publisher and Date:(Kadir Has University, 2017)The aim of this thesis is to propose a pension fund accumulation phase simulation and analysis focusing on the Turkish Private Pension System. For this purpose after analyzing the historical progress of global and local private pension systems and the Turkish Capital Markets in detail we apply some sophisticated techniques like Markov Chains and Monte Carlo Simulations on some selected financial instruments to perform our analyses. Globally private pension systems have a significant share in ...
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Bivariate Pseudo-Gompertz distribution and concomitants of its order statistics
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Publisher and Date:(Elsevier Science Bv, 2013)This 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 ...
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Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
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Publisher and Date:(Elsevier Science, 2017)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 ...
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The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
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Publisher and Date:(Wiley, 2019)This paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First, a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically, the distribution of the maximum surplus is obtained under nonruin conditions. ...
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A max–min model of random variables in bivariate random sequences
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Publisher and Date:(Elsevier, 2021)We 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.
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Measurement of bivariate risks by the north-south quantile points approach
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Publisher and Date:(Elsevier Science, 2014)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 ...
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Modeling of claim exceedances over random thresholds for related insurance portfolios
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Publisher and Date:(Elsevier Science Bv, 2011)Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable ...
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On concomitants of upper record statistics and survival analysis for a pseudo-Gompertz distribution
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Publisher and Date:(Elsevier Science, 2014)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.
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Recent Advances in Applied and Computational Mathematics: ICACM-IAM-METU
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Publisher and Date:(Elsevier, 2014)
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The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable dependent claim occurrences
Authors:
Publisher and Date:(John Wiley and Sons Ltd, 2019)This paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically the distribution of the maximum surplus is obtained under nonruin conditions. ...
