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    Öğe
    A Study on Modeling of Lifetime with Right-Truncated Composite Lognormal-Pareto Distribution: Actuarial Premium Calculations
    (Gazi Univ, 2021) Kara, Emel Kizilok
    The modeling of lifetime is important to compute actuarial quantities such as the premium on insurance and annuity products. De Moivre, Gompertz, and Makeham are laws of mortality frequently used in lifetime modeling. Composite distributions have also been used to model lifetime, recently. However, there are not many actuarial applications of these models in the literature. Therefore, the main aim of the study is to perform a case study that gives a comparison of marginal and composite models on premiums. For this purpose, firstly, it is aimed to achieve a new mortality function for a lifetime using composite distribution. The second aim is to analytically compute premiums for whole life and term life insurance products. Here, it is assumed that lifetime distribution is modeled with lognormal, Type 2 Pareto (Pareto) and composite lognormal-Pareto. Firstly, the right truncated distributions of the models were obtained under the consideration that the last age of death was 100. Afterwards, the survival and mortality functions were inferenced using Mathematica 10.2 for the right truncated models. Finally, premium coefficients were analytically presented for whole life and term life insurances in single and joint life statuses. The results show that there are significantly differences in these premium coefficients. It has been observed that the premium coefficients for the term life insurance were higher than the premium coefficients for whole life insurance. In addition, the premium coefficients of the insurances issued for the joint life were smaller than the premium coefficients for the single life.
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    Öğe
    Analysis of asymmetric financial data with directional dependence measures
    (Hacettepe Univ, Fac Sci, 2023) Kara, Emel Kizilok; Kemaloglu, Sibel Acik; Evkaya, O. Ozan
    The increase of the product variety in the financial markets requires a clear understanding of the dependence between such instruments for the decision-makers. For a few decades, such dependence structures were often modeled with symmetric copula families. How-ever, financial data may reveal an asymmetric structure, which can be determined via directional dependence measures in the context of copulas. Previously, some asymmetric copula models were proposed in different ways using Khoudraji's device. But they are merely used for financial time series data in a broader sense. In this study, a new set of asymmetric copulas were defined by using one parameter of Archimedean copula families. For this aim, widely used copula families were studied and the corresponding directional dependence measures were analyzed. To illustrate the efficiency of the parameter estima-tion method, a small simulation scenario consisting of an asymmetric dependence pattern was carried out. Thereafter, the proposed asymmetric bi-variate copulas with directional dependence coefficients were investigated for two different stock market data. The study's primary findings suggested that the newly generated asymmetric models might be useful for directional dependence. Especially, the estimated directional dependence coefficients can serve as an indicator to explain the variability of one stock in terms of the other.
  • Küçük Resim
    Öğe
    Modeling Dependent Financial Assets By Dynamic Copula And Portfolio Optimization Based On Cvar
    (Ankara Univ, Fac Sci, 2015) Kemaloglu, Sibel Acik; Kara, Emel Kizilok
    This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using copula. Since financial data is greatly affected by the economic factors, it often varies according to the time. Therefore, dynamic copula model is used that takes into account the time-varying. In addition, portfolio optimization based on Mean-CVaR model is applied with Monte Carlo simulation. As an application, a portfolio with four different Indexes is constructed from the Turkish financial markets. The marginal distributions of assets in the portfolio are estimated and parameter estimates are given for the different copula models. The portfolio optimization based on CVaR is made for the portfolio created from the specified copula model.
  • [ X ]
    Öğe
    On the Impact of Asymmetric Dependence in the Actuarial Pricing of Joint Life Insurance Policies
    (Univ Kebangsaan Malaysia, 2022) Kara, Emel Kizilok
    Multipopulation mortality modeling is a significant research problem in actuarial science. Mortality functions involving multiple lives are also essential to determine the pricing of premiums. Moreover, the lifetime models based on dependence and asymmetry are more realistic. Hence, this paper applies an asymmetric copula model, Generalized FGM (GFGM) to model the bivariate joint distribution of future lifetimes. Premiums of first-death life insurance products are calculated based on the proposed model and compared with independent and symmetrical models. The results display that asymmetry has a significant effect on premium calculations. Also, it is concluded that the lowest premiums are generally in asymmetric lifetime models. This paper also provides analytical examples for the proposed model with Gompertz's marginal law.