A Brief Look at OU, Vasicek, CIR and Hull-White Models Through Their Actuarial Applications

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dc.contributor.authorKozpınar,Sinem
dc.date.accessioned2025-09-24T06:59:47Z
dc.date.issued2021-09-30
dc.description.abstractAim: 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.
dc.identifier.citationBaşkent Üniversitesi Ticari Bilimler Fakültesi Dergisi, cilt 5, sayı 2, ss. 37-49en
dc.identifier.issn2687-4091
dc.identifier.issuesayı 2en
dc.identifier.urihttps://hdl.handle.net/11727/13551
dc.identifier.volumecilt 5en
dc.language.isotr
dc.publisherBaşkent Üniversitesi
dc.sourceBaşkent Üniversitesi Ticari Bilimler Fakültesi Dergisien
dc.subjectOrnstein-Uhlenbeck model
dc.subjectVasicek model
dc.subjectCox-Ingersoll-Ross model
dc.subjectHull-White model.
dc.titleA Brief Look at OU, Vasicek, CIR and Hull-White Models Through Their Actuarial Applications
dc.typeArticle

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