Uluslararası Ticaret ve Finans Bölümü Koleksiyonu
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Browsing Uluslararası Ticaret ve Finans Bölümü Koleksiyonu by Institution Author "Gebizlioğlu, Ömer Lütfi"
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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: 2The Maximum Surplus in a Finite-Time Interval for a Discrete-Time Risk Model With Exchangeable Dependent Claim Occurrences(John Wiley and Sons Ltd, 2019) Gebizlioğlu, Ömer Lütfi; Eryilmaz, SerkanThis 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. Based on this distribution the computation of the minimum surplus distribution is given. Asset and risk management–oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition comparisons are made involving the corresponding results of the classical discrete-time compound binomial risk model for which claim occurrences are independent and identically distributed. © 2018 John Wiley & Sons Ltd.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: 11Citation - Scopus: 10Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios(Elsevier Science Bv, 2011) Eryilmaz, Serkan; Gebizlioğlu, Ömer Lütfi; Tank, FatihLarge 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 dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 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]
