Browsing by Author "Kozpınar,Sinem"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • No Thumbnail Available
    Item
    A Brief Look at OU, Vasicek, CIR and Hull-White Models Through Their Actuarial Applications
    (Başkent Üniversitesi, 2021-09-30) Kozpınar,Sinem
    Aim: A brief overview of the affine processes, namely the Orntein-Uhlenbeck (OU) process, the Vasicek process, the Cox-Ingersoll-Ross (CIR) process and the Hull-White process, is presented through their important features. The main purpose of this paper is to discuss six very recent actuarial applications of these affine processes that focus on different problems with different stochastic models and different mathematical methods. Conclusion and Contributions: On one hand, these applications show how to incorporate the corresponding affine processes into the modelling framework. On the one hand they give an insight about the advantages of using these affine processes through mathematical calculations/data analysis.