Prof. AYŞE SEVTAP KESTEL

Academic Titles

2017 - Continues Professor

Middle East Technical University, Institute of Applied Mathematics, Actuarial Science
2012 - 2017 Associate Professor

Middle East Technical University, Institute of Applied Mathematics, Actuarial Science
2009 - 2012 Assistant Professor

Middle East Technical University, Institute of Applied Mathematics, Actuarial Science
2008 - 2009 Associate Professor

Albert-Ludwigs-Universitaet Freiburg im Breisgau, Faculty of Economics and Behavioral Sciences, Econometrics
2003 - 2009 Assistant Professor

Albert-Ludwigs-Universitaet Freiburg im Breisgau, Faculty of Economics and Behavioral Sciences, Econometrics
2005 - 2006 Assistant Professor

Illinois State University, Faculty of Arts and Sciences, Department of Mathematics and Statistics
1997 - 2001 Assistant Professor

Middle East Technical University, Faculty of Arts and Sciences, Department of Statistics
1985 - 1996 Research Assistant

Middle East Technical University, Faculty of Arts and Sciences, Department of Statistics

Managerial Experience

2021 - Continues Rectorate Commissioner

Middle East Technical University, Institute of Applied Mathematics, Actuarial Science
2020 - Continues Director of The Institution

Middle East Technical University, Institute of Applied Mathematics
2019 - Continues Academic Performance D. Board Member

Middle East Technical University, Institute of Applied Mathematics, Actuarial Science
2017 - Continues Head of Department

Middle East Technical University, Institute of Applied Mathematics, Financial Mathematics
2009 - Continues Erasmus Program Institutional Coordinator

Middle East Technical University, Institute of Applied Mathematics, Actuarial Science
2012 - 2017 Assistant Director of the Institute

Middle East Technical University, Institute of Applied Mathematics
2012 - 2015 Head of Department

Middle East Technical University, Institute of Applied Mathematics, Financial Mathematics
1998 - 2001 Deputy Head of Department

Middle East Technical University, Faculty of Arts and Sciences, Department of Statistics
1996 - 1997 Deputy Head of Department

Middle East Technical University, Faculty of Arts and Sciences, Department of Statistics

Non Academic Experience

2008 - 2009 Associate Professor (Title)

Albert-Ludwigs University Freiburg
2002 - 2007 Statistician

Wellness Consulting - Germany
2005 - 2006 Associate Professor (Title)

Illinois State University
2003 - 2005 Instructor/Reader

Albert Ludwigs University Freiburg
1997 - 1998 Instructor

St. John's University NY USA

Courses

Postgraduate Elements of Probability and Statistics
Postgraduate QUANTITATIVE ANALYSIS

Advising Theses

Modeling Exchange Rate Volatility Using ARMA-GARCHAproach with Non-Gaussian Distribution

Kestel A. S., Türker Bayrak Ö.(Co-Advisor)

Y.GİRGİN(Student), Postgraduate, 2023
Markov-chain modulated implied liquidity: Modeling and estimation

Eksi-Altay Z.(Co-Advisor), Kestel A. S.

Ç.YERLİ(Student), Doctorate, 2023
Classification of imbalanced credit data sets with borrower-specific cost-sensitive algorithms

Kestel A. S., Yildirak Ş. K.(Co-Advisor)

Y.YAMAN(Student), Doctorate, 2023
Clustering Influence on MTPL Premium Estimation Using Credibility Approach

Kestel A. S., Yıldırım Külekci B. (Co-Advisor)

İ.Onur(Student), Postgraduate, 2023
A HYBRID APPROACH IN CONSTRUCTING AN INTERNAL SOLVENCY MODEL

Kestel A. S. (Advisor),

E.HASGÜL(Student), Doctorate, 2023
Determination of spot wheat prices under climate impact using copula approach

Kestel A. S., Yıldırım Külekci B. (Co-Advisor)

İ.Kayapınar(Student), Postgraduate, 2022
Coupled hidden Markov model with bivariate discrete copula to study comorbidity of chronic diseases

Yozgatlıgil C., KESTEL A. S. (Co-Advisor)

Z.OFLAZ(Student), Doctorate, 2022
Modeling cash flows under IFRS17: Türk case

KESTEL A. S. (Advisor)

R.JUBEH(Student), Postgraduate, 2022
Stochastic modeling of stop-loss reinsurance and exposure curves under time dependent structure

KESTEL A. S. (Advisor)

Ö.MURAT(Student), Doctorate, 2022
Bitcoin price forecasting under the influences of network metrics and other financial assets

KESTEL A. S. (Advisor)

İ.DAŞ(Student), Postgraduate, 2022
Assessment of artificial neural network to improve hidden Markov model for financial data

KESTEL A. S. (Advisor)

D.AYDOĞAN(Student), Doctorate, 2022
Optimal Capacity Allocation in Electricity Industry in accordance with Renewable Energy Sources: The US Case

Kestel A. S., Yılmaz B.(Co-Advisor)

U.GÖLBAŞI(Student), Postgraduate, 2021
Calculation of average glandular doses in patients undergoing mammography

KESTEL A. S. (Advisor)

A.EGE(Student), Doctorate, 2021
Risk measurement using time varying extreme value copulas

KESTEL A. S. (Advisor)

B.YILDIRIM(Student), Doctorate, 2021
INFLUENCE OF RENEWABLE ENERGY ON CARBON PRICES IN THE USA

Kestel S. A., Dalkır S.(Co-Advisor)

H.ESİN(Student), Postgraduate, 2020
DETERMINATION OF ADEQUATE FUNDING FOR UNEMPLOYMENT INSURANCE IN TURKEY

Kestel S. A., Türker Bayrak Ö.(Co-Advisor)

H.BURAK(Student), Postgraduate, 2020
Modeling problems in a regional labor market - by mars and artificial intelligence - poland case

Kestel S. A., Weber G.(Co-Advisor)

S.GÜTMEN(Student), Postgraduate, 2019
Modelling and Forecasting Age-Segmented Mortality: Evaluation of Lee-Carter Method and Its Extensions

Kestel S. A. (Co-Advisor), Sürücü B.

R.SIDAR(Student), Postgraduate, 2019
Early warning model with machine learning for Turkish Insurance Sector

Kestel S. A. (Advisor)

G.BURAK(Student), Postgraduate, 2019
HOUSING MARKET DYNAMICS AND ADVANCES IN MORTGAGES: OPTION BASED MODELING AND HEDGING

Kestel S. A. (Advisor)

B.YILMAZ(Student), Doctorate, 2019
Corporate strategies for currency risk management

Kestel S. A., Sezgin Alp Ö.(Co-Advisor)

İ.BERAT(Student), Postgraduate, 2019
Utilization of outlier-adjusted lee-carter model in mortality estimation on whole life annuities

Kestel S. A. (Advisor)

C.YAVRUM(Student), Postgraduate, 2019
BROADBAND GROUND MOTION SIMULATION WITHIN DUZCE CITY (TURKEY)

Askan Gündoğan A., Kestel S. A. (Co-Advisor)

E.ÖZMEN(Student), Postgraduate, 2019
Comparison of machine learning algorithms on consumer credit classification

Kestel S. A., Uğur Ö. (Co-Advisor)

O.KOÇ(Student), Postgraduate, 2019
Empirical comparison of portfolio risk diversification algorithms

Kestel S. A., Çalışkan Schindler N.(Co-Advisor)

Ç.YERLİ(Student), Postgraduate, 2018
Efficient Simulation and Modelling of Counterparty Credit Risk

KESTEL S. A. (Co-Advisor), UĞUR Ö. (Co-Advisor)

A.ALİ(Student), Doctorate, 2018
Measuring longevity risk on second pillar pension system: Turkey case

Kestel S. A. (Advisor)

G.NURDAĞ(Student), Postgraduate, 2018
Mixture of vines for dependence modeling: Finite mixture and Cd-vine approaches with applications

KESTEL S. A. (Co-Advisor), YOZGATLIGİL C. (Co-Advisor)

Ö.OZAN(Student), Doctorate, 2018
The comparison of risk measures on claim distributions: Turkish motor insurance case

Kestel S. A., Tank F.(Co-Advisor)

C.TELKES(Student), Postgraduate, 2018
Reinsurance pricing using exposure curve of two dependent risks

Kestel S. A. (Advisor), De Lourdes Centena M.(Co-Advisor)

G.AKARSU(Student), Postgraduate, 2018
Flexibility modelling of natural gas contracts: i·stanbul case

KESTEL S. A. (Advisor)

C.FUAD(Student), Postgraduate, 2016
Flexibility modelling of natural gas contracts: i̇stanbul case

Kestel S. A., Kalaycı E.(Co-Advisor)

C.FUAD(Student), Postgraduate, 2016
A quantitative risk assessment methodology for occupational accidents in underground coal mines:A case of Turkish Hard Coal Enterprises

KESTEL S. A. (Advisor)

H.HÜSEYİN(Student), Doctorate, 2016
CPPI strategy on defined contribution pension scheme under cushion option and discrete time trading setting

KESTEL S. A. (Advisor)

A.GÜLVEREN(Student), Postgraduate, 2016
Risk premium estimation in mtpl insurance using copula:Turkey case

KESTEL S. A. (Advisor)

E.USTA(Student), Postgraduate, 2016
Assessment of Solvency II requirements for Turkish insurance market

KESTEL S. A. (Advisor)

M.HÖBEK(Student), Postgraduate, 2016
Stochastic surplus processes with VaR and CVaR simulations in actuarial applications

KESTEL S. A. (Co-Advisor), UĞUR Ö. (Co-Advisor)

M.ŞİMŞEK(Student), Postgraduate, 2016
Bivariate hidden Markov model to capture the dependency in claim estimate

KESTEL S. A. (Co-Advisor), YOZGATLIGİL C. (Co-Advisor)

Z.OFLAZ(Student), Postgraduate, 2016
Hydro inflow forecasting and virtual power plant pricing in the Turkish electricity market

KESTEL S. A. (Advisor)

S.ÇABUK(Student), Postgraduate, 2016
Discrete-time surplus process for takaful insurance with multiple threshold levels

KESTEL S. A. (Advisor)

A.ACHLAK(Student), Postgraduate, 2016
Modeling future mortality rates using both deterministic and stochastic approaches

KESTEL S. A. (Advisor)

E.HASGÜL(Student), Postgraduate, 2015
Constant proportion portfolio insurance in defined-contribution pension plan management

KESTEL S. A. (Advisor)

B.ZEYNEP(Student), Doctorate, 2015
Determination of inflation rate in a hidden Markov model framework: Turkey case

KESTEL S. A. (Advisor)

D.AYDOĞAN(Student), Postgraduate, 2015
An early warning model for Turkish insurance companies

KESTEL S. A. (Advisor)

G.OCAK(Student), Postgraduate, 2015
Ground motion simulations based on regional input parameters and their impact on insurance premiums: Bursa case

KESTEL S. A. (Co-Advisor), ASKAN GÜNDOĞAN A. (Co-Advisor)

B.ÜNAL(Student), Postgraduate, 2015
The estimation of adopted mortality and morbidity rates using Markov model and phase type law: Turkish case

KESTEL S. A. (Advisor)

F.AKAT(Student), Postgraduate, 2015
The relation between crude oil prices and financial market indicators: a copula approach

Kestel S. A., Küçüközmen C.(Co-Advisor)

D.EZGİ(Student), Postgraduate, 2014
Demand, supply and partial equilibrium analysis of electricity energy pricing for Turkish market

Kestel S. (Advisor)

A.Özdemir(Student), Postgraduate, 2013
Demand, supply and partial equilibrium analysis of Turkish electricity energy pricing

KESTEL S. A. (Advisor)

A.ÖZDEMİR(Student), Postgraduate, 2013
Impact of capacity level on reinsurance and cat bond markets

Kestel S. (Co-Advisor)

T.Toygar(Student), Postgraduate, 2012
Survival modelling approach to time to first claim and actuarial premium calculation

Kestel S. (Advisor)

D.Akbulut(Student), Postgraduate, 2011
Genetic algorithm approach for the optimization of technical trading rule parameters.

Kestel S. A. (Advisor)

T.HÜLAGÜ(Student), Postgraduate, 2001
Experimental design under nonnormality

Tiku M. L., Kestel S. A. (Co-Advisor)

B.ŞENOĞLU(Student), Doctorate, 2000
Parameter Estimation of Some Discrete Trivaiate Distributions and Applications of These Distributions

Kestel S. A. (Advisor)

Ö.Mehmet(Student), Postgraduate, 1997

Academic and Administrative Experience

2017 - Continues Professor

2012 - 2017 Associate Professor

2009 - 2012 Assistant Professor

2008 - 2009 Associate Professor

2003 - 2009 Assistant Professor

2005 - 2006 Assistant Professor

1997 - 2001 Assistant Professor

1985 - 1996 Research Assistant

2021 - Continues Rectorate Commissioner

2020 - Continues Director of The Institution

2019 - Continues Academic Performance D. Board Member

2017 - Continues Head of Department

2009 - Continues Erasmus Program Institutional Coordinator

2012 - 2017 Assistant Director of the Institute

2012 - 2015 Head of Department

1998 - 2001 Deputy Head of Department

1996 - 1997 Deputy Head of Department

2008 - 2009 Associate Professor (Title)

2002 - 2007 Statistician

2005 - 2006 Associate Professor (Title)

2003 - 2005 Instructor/Reader

1997 - 1998 Instructor

Postgraduate Elements of Probability and Statistics

Postgraduate QUANTITATIVE ANALYSIS