Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Yeliz Yolcu-Okur"'
Publikováno v:
Volume: 69, Issue: 1 910-928
Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics
Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics
This paper presents a model, which can closely estimate the future mortality rates whose efficiency is performed through the comparisons with respect to Lee-Carter and mortality trend models. This general model estimates the logit function of death r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08057bd476b6062bf94b214a8fa755ca
https://dergipark.org.tr/tr/pub/cfsuasmas/issue/49221/478265
https://dergipark.org.tr/tr/pub/cfsuasmas/issue/49221/478265
Publikováno v:
Scandinavian Actuarial Journal
Pension buy-out is a special financial asset issued to offload the pension liabilities holistically in exchange for an upfront premium. In this paper, we concentrate on the pricing of pension buy-outs under dependence between interest and mortality r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::053667d8d9839aa5289e2f518e0a84f5
https://doi.org/10.1080/03461238.2017.1328370
https://doi.org/10.1080/03461238.2017.1328370
Publikováno v:
Volume: 48, Issue: 4 1232-1249
Hacettepe Journal of Mathematics and Statistics
Hacettepe Journal of Mathematics and Statistics
We investigate an insurer's optimal investment and liability problem by maximizing the expected terminal wealth under different utility functions. The insurer's aggregate claim payments are modeled by a Lévy risk process. We assume that the financia
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eacca9dcef1351c2293b9cba86843cc8
https://dergipark.org.tr/tr/pub/hujms/issue/47862/604514
https://dergipark.org.tr/tr/pub/hujms/issue/47862/604514
In this study, we focus on the reconstruction of volatility surfaces via a Bayesian framework. Apart from classical methods, such as, parametric and non-parametric models, we study the Bayesian analysis of the (stochastically) parametrized volatility
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0ce6a558319a3cf3df0e439a6d89b303
https://aperta.ulakbim.gov.tr/record/35065
https://aperta.ulakbim.gov.tr/record/35065
Publikováno v:
Journal of Computational and Applied Mathematics. 259:406-412
Regulators, banks and other market participants realized that true assessment of the credit risk is more critical and complex than their ex-ante appraisals after the US Credit Crunch. They have turned their attention to complex credit risk models and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c3af458d7c6cbbbb04f53f3f6e023210
https://doi.org/10.1016/j.cam.2013.07.052
https://doi.org/10.1016/j.cam.2013.07.052
We employ Malliavin calculus techniques to compute the Delta of European type options in the presence of stochastic volatility. We obtain a general formula for the Malliavin weight and apply the derived formula to the well known models of Stein-Stein
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d9eac3f51af360c76a10d8aa3287b820
https://publica.fraunhofer.de/handle/publica/246718
https://publica.fraunhofer.de/handle/publica/246718
Publikováno v:
Annals of Operations Research. 260:1-2
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37556862a988632761b2e961408c4815
https://doi.org/10.1007/s10479-017-2714-x
https://doi.org/10.1007/s10479-017-2714-x
Autor:
Yeliz Yolcu Okur
Publikováno v:
Stochastics. 84:251-272
The classical Clark–Ocone theorem states that any random variable can be represented as where denotes the conditional expectation, is a Brownian motion with canonical filtration and D denotes the Malliavin derivative in the direction of W. Since ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5decffe175e6d60b2562d721c886ead2
https://doi.org/10.1080/17442508.2010.542817
https://doi.org/10.1080/17442508.2010.542817
Autor:
Yeliz Yolcu Okur
Publikováno v:
Stochastic Analysis and Applications. 28:1106-1121
We prove the white noise generalization of the Clark-Ocone formula under change of measure by using Gaussian white noise analysis and Malliavin calculus. Let W(t) be a Brownian motion on the filtered white noise probability space (Ω, ℬ, {ℱ t }0
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d9e549022593ee8ef2a5863b9414d9bf
https://doi.org/10.1080/07362994.2010.515498
https://doi.org/10.1080/07362994.2010.515498
Publikováno v:
A Malliavin Calculus Approach to General Stochastic Differential Games with Partial Information.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=erc_________::42c263df699398ba0289838e8477a61a