Dependent Risks Research
Group studies on a wide range of areas to capture the association structure mostly
based on copulas in one and multivariate dimensions. The recent literature has
shown that copulas become an important aid to identify the dependence among
variables having different distributional properties. Having a multi-disciplinary
structure, the research group works on the problems in energy, insurance,
agriculture, finance problems, both in theory and application.
Research includes:
·
Copulas in energy and
commodity pricing
·
Dependence in
agriculture insurance
·
Non-life insurance and
dependent risks
· Morbidity risk using copulas and hidden Markov processes
- Assessment of Dependent Risk Using Extreme Value Theory in a Time Varying Framework, Yildirim-Kulekci B. Karabey U., Selcuk-Kestel A.S., HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS (to appear)
- CD-vine model for capturing complex dependence, Ozan Evkaya O., Yozgatlıgil C. , Kestel S. A., JOURNAL OF APPLIED STATISTICS, 2020
- Aggregate Claim Estimation using bivariate hidden Markov Model, Oflaz Z. N. , Yozgatlıgil C. , Selcuk-Kestel A. S., ASTIN BULLETIN, vol.49, no.1, pp.189-215, 2019
- The estimation of adopted mortality and morbidity rates using model and the phase type law: the Turkish case, Akat F., Selcuk-Kestel A. S. , Tank F., Communications in Statistics: Simulation and Computation, vol.48, no.9, pp.2552-2565, 2019
- The impact of crude oil prices on financial market indicators: copula approach, Kayalar D. E. , Küçüközmen C. Ç. , Kestel S. A., ENERGY ECONOMICS, vol.61, pp.162-173, 2017
- Drought analysis using copula approach: a case study for Turke, Evkaya Ö. O. , Yozgatlıgil C. , Kestel A. S., Communications in Statistics: Case Studies, Data Analysis and Applications, vol.5, no.3, pp.243-260, 2019
- Measuring Dependence between Electricity Consumption and Economic Indicators via Copulas: Turkish Case, Evkaya O. O. , Yozgatlıgil C. , Selcuk-Kestel A. S., GAZI UNIVERSITY JOURNAL OF SCIENCE, vol.31, no.4, pp.1284-1296, 2018.
Longevity and Pension Research Group studies on the topic of the defined benefit (DB) underpin hybrid pension plan guarantees as a financial option. The recent economic conditions have proved challenging for traditional DB and DC plans in Turkey as well as in developed countries. Many final salary DB plans have been closed in the past few years. Hybrid plans combines elements of DB and DC plan design and provide a passage.
Research includes:
- Dynamic Mortality Modeling
- Pension Fund Management
- Risk Management
- Derivatives
Publications: 1. Assessment of longevity risk: credibility approach, Kulekci B. Y. , Kestel A. S, Journal of Applied Statistics, 2021, doi:10.1080/02664763.2021.1922613 2. Impact of Outlier-Adjusted Lee–Carter Model on the Valuation of Life Annuities, Yavrum C. , Kestel A. S.,Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, M. Kenan Terzioğlu, Editor, Springer, London/Berlin , Berlin, p.100, 2022 3. Actuarial Present Value and Variance for Changing Mortality and Stochastic Interest Rates Yıldırım B. , Kestel A. S., Ergökmen G., Modeling, Dynamics, Optimization and Bioeconomics II, Pinto,A.,Zilberman,D, Editor, Springer-Verlag , Amsterdam, 495-512, 2017 4. Forecasting Mortality Rates with a general Stochastic mortality Trend Model, Hasgül E., Kestel A. S. , Yolcu Okur Y., Communications Faculty of Science University of Ankara. Ser A1 Math. Stat, 69 (1), 1-19, 2020
5.Constant proportion portfolio insurance in defined contribution pension plan management, Temoçin B. Z., Korn R., Selcuk-Kestel A. S.,Annals of Operations Research, 266, 329-348, 2018.
6. Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading,Temoçin B. Z., Korn R., Selcuk-Kestel A. S., Annals of Operations Research, 260(30), 515-544, 2018