Prof. AYŞE SEVTAP KESTEL

HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS , vol.1, no.1, pp.1-20, 2022 (SCI-Expanded, Scopus, TRDizin)

17. Optimal premium allocation under stop-loss insurance using exposure curves

Yilmaz B., Hekimoglu A. A., Kestel A. S.

HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS , vol.51, no.1, pp.288-307, 2022 (SCI-Expanded, Scopus, TRDizin)

18. Default and prepayment options pricing and default probability valuation under VG model

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS , vol.399, 2022 (SCI-Expanded, Scopus) Sustainable Development

19. Assessment of longevity risk: credibility approach

Kulekci B. Y., Kestel A. S.

JOURNAL OF APPLIED STATISTICS , vol.48, no.13-15, pp.2695-2713, 2021 (SCI-Expanded, Scopus)

20. CD-vine model for capturing complex dependence

Ozan Evkaya O., Yozgatlıgil C., Kestel S. A.

JOURNAL OF APPLIED STATISTICS , vol.48, no.13-15, pp.2406-2420, 2021 (SCI-Expanded, Scopus)

21. The Impact of Macro-Economic Drivers in Housing Markets: The US Cas

YILMAZ B., YERLİKAYA ÖZKURT F., KESTEL A. S.

İzmir Journal of Economics , vol.36, no.2, pp.259-273, 2021 (TRDizin)

22. Time dependent stop-loss reinsurance and exposure curves

Yılmaz B., Yerlikaya Özkurt F., Kestel A. S.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS , vol.389, 2021 (SCI-Expanded, Scopus)

23. Forecasting house prices in Turkey: GLM, VAR and time series approaches

Journal of Business Economics and Finance , vol.9, no.4, pp.274-291, 2020 (Peer-Reviewed Journal)

24. FORECASTING MORTALITY RATES WITH A GENERAL STOCHASTIC MORTALITY TREND MODEL

HASGÜL E., Kestel A. S., YOLCU OKUR Y.

COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS , vol.69, no.1, pp.910-928, 2020 (ESCI, TRDizin) Sustainable Development

25. Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach

Yılmaz B., Selcuk-Kestel A. S.

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS , vol.59, no.4, pp.673-697, 2019 (SSCI, Scopus)

26. 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 (SCI-Expanded, Scopus)

27. Drought analysis using copula approach: a case study for Turkey

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 (Scopus) Sustainable Development

28. Quantitative hazard assessment for Zonguldak Coal Basin underground mines

Erdogan H. H., Duzgun H. S., Selcuk-Kestel A. S.

INTERNATIONAL JOURNAL OF MINING SCIENCE AND TECHNOLOGY , vol.29, no.3, pp.453-467, 2019 (SCI-Expanded, ESCI, Scopus) Sustainable Development

29. ASSESSMENT OF SUPPLIER RISK FOR COPPER PROCUREMENT

Buzdogan-Lindenmayr E., Kara G., Selcuk-Kestel A. S.

COMMUNICATIONS FACULTY OF SCIENCES UNIVERSITY OF ANKARA-SERIES A1 MATHEMATICS AND STATISTICS , vol.68, no.1, pp.1045-1060, 2019 (ESCI, TRDizin)

30. 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 (SCI-Expanded, SSCI, Scopus)

31. Measuring Dependence Between Electricity Consumption And Contributing Indicators Via Copulas: Turkish Case

Yilmaz B., Selcuk-Kestel A. S.

Gazi University Journal of Science , vol.31, no.4, pp.1284-1296, 2018 (Scopus, TRDizin) Sustainable Development

32. A STOCHASTIC APPROACH TO MODEL HOUSING MARKETS: THE US HOUSING MARKET CASE

NUMERICAL ALGEBRA CONTROL AND OPTIMIZATION , vol.8, no.4, pp.481-492, 2018 (ESCI, Scopus)

33. Constant proportion portfolio insurance in defined contribution pension plan management

Temoçin B. Z., Korn R., Selcuk-Kestel A. S.

ANNALS OF OPERATIONS RESEARCH , vol.266, pp.329-348, 2018 (SCI-Expanded, Scopus)

34. Preface: Advances of OR in commodities and financial modelling

KESTEL S. A., Yolcu-Okur Y., Weber G.

ANNALS OF OPERATIONS RESEARCH , vol.260, pp.1-2, 2018 (SCI-Expanded, Scopus)

35. 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 (ESCI, Scopus, TRDizin) Sustainable Development

36. 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 , vol.260, pp.515-544, 2018 (SCI-Expanded, Scopus)

37. Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey

Coskun Y., Selcuk-Kestel A. S., Yılmaz B.

BORSA ISTANBUL REVIEW , vol.17, no.4, pp.199-215, 2017 (SSCI, ESCI, Scopus)

38. Analysis of training sample selection strategies for regression-based quantitative landslide susceptibility mapping methods

Erener A., Sivas A. A., Kestel S. A., Duzgun H. S.

COMPUTERS & GEOSCIENCES , vol.104, pp.62-74, 2017 (SCI-Expanded, Scopus)

39. Assessment of Index-based Drought Insurance

Evkaya Ö. O., Yıldırak Ş. K., Kestel A. S.

Ekonomik Yaklaşım , vol.28, pp.1-18, 2017 (Peer-Reviewed Journal) Sustainable Development

40. Analyses on the Causality in Carbon Emission with respect to Economic Growth and Education

ÜNLÜ K. D., KESTEL A. S.

GAZI UNIVERSITY JOURNAL OF SCIENCE , vol.30, no.3, pp.161-179, 2017 (ESCI, Scopus) Sustainable Development

41. Simulation of large earthquakes and its implications on earthquake insurance rates: a case study in Bursa region (Turkey)

Ünal B., Askan A., Selcuk-Kestel A. S.

NATURAL HAZARDS , vol.85, no.1, pp.215-236, 2017 (SCI-Expanded, Scopus)

42. 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 (SSCI, Scopus) Sustainable Development

43. Estimation of earthquake insurance Premium rates Turkish catastrophe insurance pool case

Temoçin B. Z., Kestel A. S.

AÜÜF Communications: Series A1: Mathematics and Statistics , vol.65, pp.161-173, 2016 (Peer-Reviewed Journal)

44. Adjusting SPI for crop specific agricultural drought

Yıldırak Ş. K., Kestel A. S.

ENVIRONMENTAL AND ECOLOGICAL STATISTICS , vol.22, no.4, pp.681-691, 2015 (SCI-Expanded, Scopus) Sustainable Development

45. Analysis of portfolio diversification between REIT assets

Rees P., Selcuk-Kestel A. S.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS , vol.259, pp.425-433, 2014 (SCI-Expanded, Scopus)

46. A GIS-based software for lifeline reliability analysis under seismic hazard

Kestel A. S., Düzgün H. Ş., Oduncuoğlu L.

COMPUTERS & GEOSCIENCES , vol.42, pp.37-46, 2012 (SCI-Expanded, Scopus)

47. Stochastic modeling of accident risks associated with an underground coal mine in Turkey

Sari M., Selcuk A. S., Karpuz C., Duzgun H. S. B.

SAFETY SCIENCE , vol.47, pp.78-87, 2009 (SCI-Expanded, Scopus) Sustainable Development

48. Length biased Inverse Gaussian Hazard Rate Estimation A Predictive Density Approach

Akman O., Kestel A. S.

Advances and Applications in Statistics , vol.6, pp.217-233, 2006 (ESCI)

49. Accident analysis of two Turkish underground coal mines

Sarı M., Duzgun H., Karpuz C., Selcuk A.

SAFETY SCIENCE , vol.42, pp.675-690, 2004 (SCI-Expanded, Scopus) Sustainable Development

50. Compulsory Earthquake Insurance Scheme for Residences In Turkey And Its Implications

Kestel A. S., Gülkan H. P.

Journal of International Insurance , vol.1, pp.447-457, 2001 (Peer-Reviewed Journal)

51. Nonnormal regression. II. Symmetric distributions

Tiku M., Islam M., Selcuk A.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS , vol.30, no.6, pp.1021-1045, 2001 (SCI-Expanded, Scopus)

52. Reliability of lifeline networks with multiple sources under seismic hazard

Kestel A. S., Yucemen M. S.

NATURAL HAZARDS , vol.21, no.1, pp.1-18, 2000 (SCI-Expanded, Scopus)

53. Reliability of Lifeline Networks under Seismic Hazard

Kestel A. S., Yucemen M. S.

Reliability Engineering Safety , vol.65, pp.213-227, 1999 (SCI-Expanded, Scopus)

54. The Turkish Insurance Market Land of Opportunity

KESTEL A. S.

Journal of International Insurance , vol.1, pp.77-90, 1999 (Peer-Reviewed Journal)

Papers Presented at Peer-Reviewed Scientific Conferences 74

1. Spatio-temporal crop yield prediction using time-varying copula and actuaries climate index

Yavrum C., Kestel A. S., Garrido J.

Climate Change and Insurance 2025, Edinburgh, England, 10 - 12 September 2025, pp.1, (Summary Text)

2. Insurance Fraud Detection via Clustering-Based Fuzzy Classification On Noisy Unbalanced Datasets

Koç O., Başer F., Kestel A. S.

the European Actuarial Journal Conference (EAJC) 2024, Lisbon, Portugal, 9 - 11 September 2024, pp.28-29, (Summary Text)

3. Assessing the applicability of the Actuaries Climate Index within weather derivatives framework

Yavrum C., Kestel A. S.

Workshop "Climate Change and Insurance", Vienna, Austria, 4 - 06 September 2024, pp.19, (Summary Text)

4. Stop-loss reinsurance pricing and exposure curves under jump influence

Familly Workshop (Financial and Actuarial Mathematics in Liverpoold, Leeds, York), Liverpool, England, 07 December 2023, pp.1, (Summary Text)

5. TIME DEPENDENT STOP-LOSS REIUNSURANCE AND EXPOSURE CURVES VIA STOCHASTIC JUMP DIFFUSION

AKARSU ŞENGÖZ G., KESTEL A. S.

26th International Congress on Insurance: Mathematics and Economics, Edinburgh, Saint Helena, 4 - 07 July 2023, pp.86, (Summary Text)

6. Time Varying Approach to Stochastic Reserve Prediction

26th International Congress on Insurance: Mathematics and Economics, Edinburgh, Saint Helena, 4 - 07 July 2023, pp.13, (Summary Text)

7. Life Insurance Valuation under Pandemic Risks: Covid-19

Yavrum C., Kestel A. S.

26th International Congress on Insurance: Mathematics and Economics, Edinburgh, England, 4 - 07 July 2023, pp.144, (Summary Text)

8. Optimal Dynamic Ruin Probabilities for Heavy-Tailed Losses Under Reinsurance Strategies

Yildirim Külekci B., Korn R., Kestel A. S.

25th (2022) International Congress on Insurance: Mathematics and Economics, Guangzhou, China, 12 - 15 July 2022, vol.1, pp.114, (Summary Text)

9. Ruin Probability in Heavy-Tailed Claims with Extreme Value Theory

Yildirim Külekci B., Karabey U., Kestel A. S.

24th International Congress on Insurance: Mathematics and Economics, Illinois, United States Of America, 5 - 09 September 2021, vol.1, no.1, pp.101, (Summary Text)

10. Time Dependent Stop-Loss Reinsurance and Exposure Curves

Virtual 24th International Congress on Insurance: Mathematics and Economics, Illinois, United States Of America, 5 - 09 July 2021, pp.145-146, (Summary Text)

11. Impact of Outliers in Mortality Rates on the Valuation of Life Annuities

Yavrum C., Kestel A. S.

Virtual 24th International Congress on Insurance: Mathmeatics and Economics, Illinois, United States Of America, 5 - 09 July 2021, pp.174, (Summary Text)

12. Time Dependent Stop-Loss Reinsurance and Exposure Curves

Yildirim Külekci B., Kestel A. S., Karabey U.

Virtual 24th International Congress on Insurance: Mathematics and Economics, United States Of America, 05 July 2021, (Summary Text)

13. Backtesting in Time Varying Extreme Value Copulas for Dependent Risks

Online International Conference inActuarial Science (OICA), Lyon, France, 28 - 29 April 2020, (Summary Text)

14. Assessment of Longevity Risk on PensionFunds: Credibility Approach

YILDIRIM KÜLEKCİ B., KESTEL A. S.

11th International Statistics Congress (ISC11), Bodrum, Turkey, 4 - 08 October 2019, (Summary Text)

15. Exposure Curve for the Sum of Dependent Risks

AKARSU G., Centeno M. d. L., KESTEL A. S.

23.International Congress on Insurance: Mathematics and Economics, Munich, Germany, 10 - 12 July 2019, pp.58, (Summary Text)

16. Ischemic Heart Disease Morbidity Rates Estimation using Hidden Markov Model Regression

Oflaz Z., Yozgatlıgil C., Kestel S. A.

23rd International Congress on Insurance: Mathematics and Economics (IME), Munich, Germany, 10 July 2019, pp.53, (Summary Text)

17. Ischemic heart disease mortality rate estimation using hidden markov regression model

OFLAZ Z., KESTEL A. S., YOZGATLIGİL C.

23rd International Congress on Insurance: Mathematics and Economics (IME 2019), Munich, Germany, 10 - 12 July 2019, (Summary Text)

18. Risk Classification with Artificial Neural Networks Models in Motor Third Party Liability

YILDIRAK Ş. K., KESTEL A. S., GÜR İ.

International Conference on Data Science, Machine Learning and Statistics - 2019(DMS-2019), Van, Turkey, 26 - 29 June 2019, (Summary Text)

19. Assessment of Longevity Risk via CredibilityApproach

YILDIRIM KÜLEKCİ B., KESTEL A. S.

4th National Insurance and Actuarial Sciences Congress (USAK), Ankara, Turkey, 24 - 25 June 2019, (Summary Text)

20. Single-Family Houses Portfolio Optimization under Impact of Large Investors in Housing Markets

Yılmaz B., Korn R., Kestel S. A.

9th General AMaMeF Conference, Paris, France, 11 - 14 June 2019, pp.54-55, (Summary Text)

21. Hydro Inflow Forecasting and Virtual Power Plant Pricing in the Turkish Electricity market

Çabuk S., Kestel S. A., Kalaycı E.

7th Multinational Energy and Value Conference, Ankara, Turkey, 23 - 25 May 2019, pp.13, (Summary Text)

22. Analyzing Housing Market Dynamics using Linear and non-Parametric Models

YILMAZ B., YERLİKAYA ÖZKURT F., KESTEL A. S.

11. International Statistics Days Conference, Muğla, Turkey, 3 - 07 October 2018, (Summary Text)

23. Extreme Value Theory on Valuation of Actuarial Risk

YILDIRIM KÜLEKCİ B., KESTEL A. S., KARABEY U.

11. International Statistics Days Conference, BODRUM, Turkey, 3 - 07 October 2018, (Summary Text)

24. Understanding Drought with Copula Functions: Case Study for Konya Province

11. International Statistics Days Conference, Muğla, Turkey, 3 - 07 October 2018, pp.300, (Summary Text) Sustainable Development

25. Default and Prepayment Risk Management Using Option Based Mortgage Contract PricingMethod

YILDIRIM KÜLEKCİ B., KESTEL A. S., KARABEY U.

4th European Actuarial Journal Conference, Leuven, Belgium, 9 - 11 September 2018, pp.71, (Summary Text)

26. Multivariate Extreme Value Theory on the Valuation of Tail Behavior in Actuarial Science

4th European Actuarial Journal Conference, Leuven, Belgium, 9 - 11 September 2018, (Summary Text)

27. Optimal Stop-Loss Reinsurance: A Dependence Analysis of Aggregate Claims under Certain Distributions

Oflaz Z., Yozgatlıgil C., Kestel S. A.

4th European Actuarial Journal Conference, Leuven, Belgium, 9 - 11 September 2018, pp.61, (Summary Text)

28. Data sharing under confidentiality

Başer E., Hülagu T., Akyıldız E., Bilgen A., Cenk M., Keskinkurt-Paksoy İ., et al.

Ninth IFC Conference , Basel, Switzerland, 30 - 31 August 2018, pp.1057-1072, (Full Text)

29. Estimation Of Claim Amounts Using Bivariate Hidden Markov Models

31. International Congress of Actuaries, Berlin, Germany, 3 - 08 June 2018, pp.121, (Summary Text)

30. Drought Forecasting with Time Series and Machine Learning Approaches

10.International Statistics Congress (ISC2017), Ankara, Turkey, 6 - 08 December 2017, pp.200, (Summary Text) Sustainable Development

31. Dependence Analysis with Normally Distributed Aggregate Claims in Stop Loss Insurance

YILDIRIM B., KESTEL A. S., KARABEY U.

10th Internatioanal Statistics Congress (ISC2017) Ankara, Ankara, Turkey, 6 - 08 December 2017, (Summary Text)

32. Risk Measurement Using Extreme Value Theory: The Case of BIST100 Index

10th International Statistics Congress, Ankara, Turkey, 6 - 08 December 2017, (Summary Text)

33. Stochastic risk assessment of an insurance portfolio underrenewal process with VaR and CVaR as initial capital

ŞİMŞEK M., UĞUR Ö., KESTEL A. S.

2nd International Conference on Computational Finance, 4 - 08 September 2017, (Summary Text)

34. Finite Mixture of C-vines for Complex Dependence.

20th Europen Young Statistician Meeting, Uppsala, Switzerland, 14 - 18 August 2017, (Full Text)

35. Multivariate Analysis of Drought Characteristics using Vine Copula Approach.

Copulas and Their Applications to Commemorate the 75th Birthday of Professor Roger B. Nelsen, Almeria, Spain, 3 - 05 July 2017, (Summary Text) Sustainable Development

36. Determination of Sensitivities for Mortgage Default and Prepayment Options

8th General AMaMeF Conference, Amsterdam, Netherlands, 19 - 23 June 2017, pp.58, (Summary Text)

37. The Effect of Macro-Economic Factors on Housing Markets: US Case

YILDIRIM B., KESTEL A. S.

IRSYSC 2017 – 3RD INTERNATIONAL RESEARCHERS, STATISTICIANS AND YOUNG STATISTICIANS CONGRESS, Konya, Turkey, 24 - 26 May 2017, pp.228, (Summary Text)

38. The Influence of Longevity Risk on Pension Funds: Turkish Case

3RD INTERNATIONAL RESEARCHERS, STATISTICIANS AND YOUNG STATISTICIANS CONGRESS, Konya, Turkey, 24 - 26 May 2017, (Summary Text)

39. Mixture of Vine Copulas for Complex and Hidden Dependence

HASGÜL E., KESTEL A. S., YOLCU OKUR Y.

Recent Developments in Dependence Modeling and Applications in Finance and Insurance, Island of Aegina, Greece, 22 - 23 May 2017, (Summary Text)

40. An Alternative Stochastic Mortality Trend Model

PARTY 2017, 8 - 13 January 2017, (Summary Text)

41. Actuarial present value and variance for changing mortality and stochastic interest rates

Yıldırım B., Selcuk-Kestel A. S., Coşkun-Ergökmen N. G.

3rd International Conference on Dynamics, Games and Science, DGS 2014, Porto, Portugal, 17 - 21 February 2014, vol.195, pp.495-512, (Full Text)

42. DIVERSIFICATION BENEFIT AND RETURN PERFORMANCE OFREITS USING CAPM AND FAMA FRENCH EVIDENCES FROM TURKEY

YILMAZ B., COŞKUN Y., KESTEL A. S.

2ND INTERNATIONAL CONFERENCE on Applied Economics and Finance, Girne, Cyprus (Kktc), 5 - 06 December 2016, (Summary Text)

43. A Stochastic Model Approach to Determine the Pattern in House Prices

ŞİMŞEK M., UĞUR Ö., KESTEL A. S.

Vienna Congress on Mathematical Finance - VCMF 2016, Viyana, Austria, 12 - 14 September 2016, (Summary Text)

44. Ruin Analysis of Takaful Insurance Using Multiple Threshold Model

ACHLAK A., KESTEL A. S., TANK F.

3rd European Actuarial Association Conference, Lyon, France, 4 - 08 September 2016, (Summary Text)

45. Stochastic surplus process and constrained portfolio optimization with VaR and CVaR

3. European Actuarial Journal Conference, Lyon, France, 4 - 08 September 2016, (Summary Text)

46. Stochastic Surplus Process and Constrained Portfolio Optimisation with VaR and CVaR

ŞİMŞEK M., UĞUR Ö., KESTEL A. S.

EAJ 2016 & IA Summer School, 5 - 08 July 2016, (Summary Text)

47. Assessment of Multivariate Drought Index via Vine Copula

Dependence Modeling inFinance, Insurance and Environmental Science, Munich, Germany, 17 - 19 May 2016, (Summary Text) Sustainable Development

48. Determination of Nonlinear Dependency on Solvency II Requirements using Copulas

HASGÜL E., KESTEL A. S.

Dependence Modeling in Finance, Insurance and Environmental Science, 17 - 19 May 2016, (Summary Text)

49. FUZZY CLUSTERING FOR EARTHQUAKE INSURANCE RISK ASSESSMENT

BAŞER F., KESTEL A. S., APAYDIN A.

International 9. Statistics Congress, Antalya, Turkey, 27 October - 01 November 2015, (Summary Text)

50. Energy ConsumptionAnd Economic Growthİn Turkey Is CopulaFramework Possible