Sevtap Ayşe Kestel

Graduate School of Applied Mathematics
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Default and prepayment options pricing and default probability valuation under VG model
Yilmaz, Bilgi; Hekimoglu, A. Alper; Kestel, Sevtap Ayşe (2022-01-01)
In this paper, a new approach, the Variance Gamma (VG) model, which is used to capture unexpected shocks (e.g., Covid-19) in housing markets, is proposed to contribute to the standard option-based mortgage valuation method...
Backtesting in Time Varying Extreme Value Copulas for Dependent Risks
Yıldırım Külekci, Bükre; Kestel, Sevtap Ayşe; Karabey, Uğur (null; 2020-04-28)
Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach
YILMAZ, BİLGİ; Kestel, Sevtap Ayşe (2019-11-01)
This study explores the hedging coefficients of the financial options to default and to prepay embedded into mortgage contracts based on the change in spot rate, underlying house price and its volatility. In the computatio...
The estimation of adopted mortality and morbidity rates using model and the phase type law: the Turkish case
Akat, Fulya; Kestel, Sevtap Ayşe; Tank, Fatih (2019-10-21)
This paper aims to estimate mortality rate, morbidity-mortality rates of a chronic disease utilizing phase type law in the frame of two and three state processes. The application on commonly used mortality tables in Turkey...
Drought analysis using copula approach: a case study for Turkey
EVKAYA, ÖMER OZAN; Yozgatlıgil, Ceylan; Kestel, Sevtap Ayşe (2019-08-01)
Exposure Curve for the Sum of Dependent Risks
Akarsu, Gülçin; Centeno, Maria De Lourdes; Kestel, Sevtap Ayşe (null; 2019-07-12)
Ischemic heart disease mortality rate estimation using hidden markov regression model
Oflaz, Zarına; Kestel, Sevtap Ayşe; Yozgatlıgil, Ceylan (null; 2019-07-10)
Ischemic Heart Disease Morbidity Rates Estimation using Hidden Markov Model Regression
Oflaz, Zarına; Yozgatlıgil, Ceylan; Kestel, Sevtap Ayşe (2019-07-10)
The precise estimation of mortality and morbidity tables is critical for optimal pricing of the life insurance and the health insurance products. Especially, unexpected high costs regarding the critical illnesses require u...
Risk Classification with Artificial Neural Networks Models in Motor Third Party Liability
Yıldırak, Şahap Kasırga; Kestel, Sevtap Ayşe; Gür, İsmail (null; 2019-06-29)
One of the most fundamental requirements in todays insurance sector is the determination of fair premium for the insured. In order for this purpose to be fulfilled, the correct risk classification is required for each insu...
Assessment of Longevity Risk via Credibility Approach
Yıldırım Külekci, Bükre; Kestel, Sevtap Ayşe (2019-06-25)
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