Browsing by Author "Gebizlioglu, Omer L."

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Citation - WoS: 5
Citation - Scopus: 6
Computing Finite Time Non-Ruin Probability and Some Joint Distributions in Discrete Time Risk Model With Exchangeable Claim Occurrences
(Elsevier, 2017) Eryilmaz, Serkan; Gebizlioglu, Omer L.
In this paper, we study a discrete time risk model based on exchangeable dependent claim occurrences. In particular, we obtain expressions for the finite time non-ruin probability, and the joint distribution of the time to ruin, the surplus immediately before ruin, and the deficit at ruin. An illustration of the results is given and some implications of the results are provided. Comparisons are made with the corresponding results for the classical compound binomial model of independent and identically distributed claim occurrences. (C) 2016 Elsevier E.V. All rights reserved.
Citation - WoS: 1
Citation - Scopus: 2
The Maximum Surplus in a Finite-Time Interval for a Discrete-Time Risk Model With Exchangeable, Dependent Claim Occurrences
(Wiley, 2019) Gebizlioglu, Omer L.; Eryilmaz, Serkan
This paper investigates a discrete-time risk model that involves exchangeable dependent loss generating claim occurrences and compound binomially distributed aggregate loss amounts. First, a general framework is presented to derive the distribution of a surplus sequence using the model. This framework is then applied to obtain the distribution of any function of a surplus sequence in a finite-time interval. Specifically, the distribution of the maximum surplus is obtained under nonruin conditions. Based on this distribution, the computation of the minimum surplus distribution is given. Asset and risk management-oriented implications are discussed for the obtained distributions based on numerical evaluations. In addition, comparisons are made involving the corresponding results of the classical discrete-time compound binomial risk model, for which claim occurrences are independent and identically distributed.
Citation - WoS: 11
Citation - Scopus: 10
Modeling of Claim Exceedances Over Random Thresholds for Related Insurance Portfolios
(Elsevier, 2011) Eryilmaz, Serkan; Gebizlioglu, Omer L.; Tank, Fatih
Large claims in an actuarial risk process are of special importance for the actuarial decision making about several issues like pricing of risks, determination of retention treaties and capital requirements for solvency. This paper presents a model about claim occurrences in an insurance portfolio that exceed the largest claim of another portfolio providing the same sort of insurance coverages. Two cases are taken into consideration: independent and identically distributed claims and exchangeable dependent claims in each of the portfolios. Copulas are used to model the dependence situations. Several theorems and examples are presented for the distributional properties and expected values of the critical quantities under concern. (C) 2011 Elsevier B.V. All rights reserved.