Sevtap Ayşe Kestel

E-mail

skestel@metu.edu.tr

Department

Graduate School of Applied Mathematics

ORCID

0000-0001-5647-7973

Scopus Author ID

56910262500

Web of Science Researcher ID

K-1221-2017

Modelling Natural Gas Future Prices via Hybrid Stochastic Diffusion Processes Mert, Özenç Murat; Koç, Oğuz; Kestel, Sevtap Ayşe (Springer, 2025-01-01)
Cushion option on CPPI strategy for defined-contribution pension plans Gulveren, Anil; Temoçin, Büşra Zeynep; Kestel, Sevtap Ayşe (2025-01-01) This paper investigates a well-known downside protection strategy called the constant proportion portfolio insurance (CPPI) in defined contribution (DC) pension fund modeling. Under discrete time trading CPPI, an investor ...
The Assessment of Early Warning for Insurance Company Using Machine Learning Methods Koçer, Günay Burak; Kestel, Sevtap Ayşe (2024-11-01)
Insurance Fraud Detection via Clustering-Based Fuzzy Classification On Noisy Unbalanced Datasets Koç, Oğuz; Başer, Furkan; Kestel, Sevtap Ayşe (2024-09-09) One of the most important challenges in overcoming the unsystematic risks in the insurance industry is fraud detection as the expenses associated with it can be disastrous, and can increase loading on reserves and premiums...
Assessing the applicability of the Actuaries Climate Index within weather derivatives framework Yavrum, Cem; Kestel, Sevtap Ayşe (2024-09-04) The global climate change has emerged as one of the most complex and pressing challenges confronting humanity. With the impact of climate change intensifying, a growing number of industries, such as agriculture, insurance,...
Ruin probability for heavy-tailed and dependent losses under reinsurance strategies Yıldırım Külekci, Bükre; Korn, Ralf; Kestel, Sevtap Ayşe (2024-07-01) The frequency and severity of extreme events have increased in recent years in many areas. In the context of risk management for insurance companies, reinsurance provides a safe solution as it offers coverage for large cla...
The Impact of Renewable Energy Incentives on Carbon Prices in the USA ÇOŞKUN, ESİN HİLAL; Kestel, Sevtap Ayşe; DALKIR, SERDAR (Springer, 2024-01-01)
Stop-loss reinsurance pricing and exposure curves under jump influence Mert, Özenç Murat; Kestel, Sevtap Ayşe (2023-12-07)
On the information content of implied liquidity measure: Evidence from the S&P 500 index options Yerli, Cigdem; Eksi-Altay, Zehra; Kestel, Sevtap Ayşe (2023-11-01) This paper aims to unfold the information content of the implied liquidity measure, which is introduced through the Conic Finance theory and considered a proxy for the market liquidity level. We propose a partial informati...
TIME DEPENDENT STOP-LOSS REIUNSURANCE AND EXPOSURE CURVES VIA STOCHASTIC JUMP DIFFUSION Mert, Özenç Murat; Kestel, Sevtap Ayşe (2023-07-07)

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