Araştırma Makalesi
BibTex RIS Kaynak Göster
Yıl 2019, Cilt: 12 Sayı: 1, 1 - 12, 31.07.2019

Öz

Kaynakça

  • Abbas, A.E. (2009). Multiattribute utility copulas. Operations Research, 57(6), 1367-1383.
  • Abbas, A.E. (2010). General decompositions of multiattribute utility functions with partial utility independence. Journal of Multi-Criteria Decision Analysis J. Multi-Crit. Decis. Anal., 17, 37–59.
  • Abbas, A.E. (2013). Utility copula functions matching all boundary assessments. Operations Research, 61(2), 359-371.
  • Abbas, A.E. (2014). Constructing multiattribute utility functions for decision analysis. In INFORMS Tutorials in Operations Research, 62-98.
  • Arrow, K. J. (1965). Aspects of the theory of risk-bearing (Yrjo Jahnsson Lectures). Yrjo Jahnssonin Saatio, Helsinki.
  • Arrow, K.J. (1971). Essays in the Theory of Risk Bearing, Chicago: Markham.
  • Cardin, M. and Ferretti, P. (2004). Bivariate Risk Aversion and Concordance Aversion: Similarities and Differences. Working paper, Department of Applied Mathematics, University Ca’Foscari, Venice, Italy.
  • Cipu, C. and Gheorghe, C. (2015). Some applications in economy for utility functions involving risk theory. Procedia Economics and Finance, 22, 595-600.
  • Cherubini, U., Luciano, E. and Vecchiato, W. (2004). Copula Methods in Finance. John Wiley & Sons Ltd, England.
  • Courbage, C. and Rey, B. (2007). Precautionary saving in the presence of other risks. Economic Theory, 32, 417–424.
  • Denuit, M. et al. (2006).Actuarial theory for dependent risks: measures, orders and models. John Wiley & Sons.
  • Denuit, M.M., Eeckhoudt, L. and Menegatti, M. (2011). Correlated risks, bivariate utility and optimal choices. Econ Theory, 46, 39–54.
  • Duncan, G.T. (1977). A matrix measure of multivariate local risk aversion. Econometrica: Journal of the Econometric Society, 895-903.
  • Eeckhoudt, L., Rey B. and Schlesinger H. (2007).A good sign for multivariate risk taking. Management Science, 53(1), 117-124.
  • Goovaerts, M., Linders D., VanWeert K. and Tank F. (2012). On the in-terplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Insurance: Mathematics and Economics, 51(1):10–18.
  • Kettler, P. C. (2007). Utility Copulas. Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076.
  • Kizilok Kara, E. and Gebizlioglu, O.L. (2014).Measurement of bivariate risks by the north-south quantile points approach. Journal of Computational and Applied Mathematics, 255, 208-215.
  • Kizilok Kara, E. and Acik Kemaloglu, S. (2016). Portfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approach. Communications Faculty of Sciences University of Ankara-Serıes A1 Mathematics and Statistics 64(2), 175-188.
  • Lai, L.H. (2015). Statistical premium in correlated losses of insurance. Economic Modelling, 49, 248.253.
  • Li, J., Liu, D. and Wang J. (2016). Risk aversion with two risks: A theoretical extension. Journal of Mathematical Economics, 63, 100–105.
  • Nelsen, R.B. (2006). An Introduction to Copulas. Springer Science & Business Media, New York.
  • Pratt, J.W. (1964). Risk aversion in the small and in the large. Econometrica: Journal of the Econometric Society, 122-136.
  • Sengupta, J.K. (1983). Multivariate risk aversion with applications. Mathematical Modelling, 4(4), 307-322.
  • Sklar, A. (1959). Functions de repartition an dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris, 8, 229-231.
  • Tank, F., Gebizlioglu, O.L. (2004). Sarmanov distribution class for dependent risks and its applications. Belgian Actuarial Bulletin, 4(1), 50–52.
  • Tasdemir, M. (2007). Belirsizlik altında tercihler ve beklenen fayda modelinin yetersizlikleri.
  • Tekin, B. (2016). Traditional finance-behavioral finance distinction in the context of expected utility and prospect theories. Journal of Accounting, Finance and Auditing Studies, 2(4), 75-107.
  • Thomas, P.J. (2016). Measuring risk-aversion, The challenge. Measurement, 79, 285–301.

Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion

Yıl 2019, Cilt: 12 Sayı: 1, 1 - 12, 31.07.2019

Öz

In order to explain the
dependency structure of random variables, copula functions are frequently used
in areas such as insurance, actuarial and risk. In addition, the concept of
risk aversion can be considered as a decision making parameter and insurance
companies can calculate the risk premium by taking advantage of this parameter.
In this study, risk aversion coefficient and risk premium based on utility
copulas were calculated for dependent bivariate risks. For this, bivariate risk
aversion coefficient and risk premium vector of the utility copula defined in
Kettler (2007) were found. Numerical results are presented in tables and graphs
for various dependency parameter values.

Kaynakça

  • Abbas, A.E. (2009). Multiattribute utility copulas. Operations Research, 57(6), 1367-1383.
  • Abbas, A.E. (2010). General decompositions of multiattribute utility functions with partial utility independence. Journal of Multi-Criteria Decision Analysis J. Multi-Crit. Decis. Anal., 17, 37–59.
  • Abbas, A.E. (2013). Utility copula functions matching all boundary assessments. Operations Research, 61(2), 359-371.
  • Abbas, A.E. (2014). Constructing multiattribute utility functions for decision analysis. In INFORMS Tutorials in Operations Research, 62-98.
  • Arrow, K. J. (1965). Aspects of the theory of risk-bearing (Yrjo Jahnsson Lectures). Yrjo Jahnssonin Saatio, Helsinki.
  • Arrow, K.J. (1971). Essays in the Theory of Risk Bearing, Chicago: Markham.
  • Cardin, M. and Ferretti, P. (2004). Bivariate Risk Aversion and Concordance Aversion: Similarities and Differences. Working paper, Department of Applied Mathematics, University Ca’Foscari, Venice, Italy.
  • Cipu, C. and Gheorghe, C. (2015). Some applications in economy for utility functions involving risk theory. Procedia Economics and Finance, 22, 595-600.
  • Cherubini, U., Luciano, E. and Vecchiato, W. (2004). Copula Methods in Finance. John Wiley & Sons Ltd, England.
  • Courbage, C. and Rey, B. (2007). Precautionary saving in the presence of other risks. Economic Theory, 32, 417–424.
  • Denuit, M. et al. (2006).Actuarial theory for dependent risks: measures, orders and models. John Wiley & Sons.
  • Denuit, M.M., Eeckhoudt, L. and Menegatti, M. (2011). Correlated risks, bivariate utility and optimal choices. Econ Theory, 46, 39–54.
  • Duncan, G.T. (1977). A matrix measure of multivariate local risk aversion. Econometrica: Journal of the Econometric Society, 895-903.
  • Eeckhoudt, L., Rey B. and Schlesinger H. (2007).A good sign for multivariate risk taking. Management Science, 53(1), 117-124.
  • Goovaerts, M., Linders D., VanWeert K. and Tank F. (2012). On the in-terplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Insurance: Mathematics and Economics, 51(1):10–18.
  • Kettler, P. C. (2007). Utility Copulas. Preprint series. Pure mathematics http://urn. nb. no/URN: NBN: no-8076.
  • Kizilok Kara, E. and Gebizlioglu, O.L. (2014).Measurement of bivariate risks by the north-south quantile points approach. Journal of Computational and Applied Mathematics, 255, 208-215.
  • Kizilok Kara, E. and Acik Kemaloglu, S. (2016). Portfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approach. Communications Faculty of Sciences University of Ankara-Serıes A1 Mathematics and Statistics 64(2), 175-188.
  • Lai, L.H. (2015). Statistical premium in correlated losses of insurance. Economic Modelling, 49, 248.253.
  • Li, J., Liu, D. and Wang J. (2016). Risk aversion with two risks: A theoretical extension. Journal of Mathematical Economics, 63, 100–105.
  • Nelsen, R.B. (2006). An Introduction to Copulas. Springer Science & Business Media, New York.
  • Pratt, J.W. (1964). Risk aversion in the small and in the large. Econometrica: Journal of the Econometric Society, 122-136.
  • Sengupta, J.K. (1983). Multivariate risk aversion with applications. Mathematical Modelling, 4(4), 307-322.
  • Sklar, A. (1959). Functions de repartition an dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris, 8, 229-231.
  • Tank, F., Gebizlioglu, O.L. (2004). Sarmanov distribution class for dependent risks and its applications. Belgian Actuarial Bulletin, 4(1), 50–52.
  • Tasdemir, M. (2007). Belirsizlik altında tercihler ve beklenen fayda modelinin yetersizlikleri.
  • Tekin, B. (2016). Traditional finance-behavioral finance distinction in the context of expected utility and prospect theories. Journal of Accounting, Finance and Auditing Studies, 2(4), 75-107.
  • Thomas, P.J. (2016). Measuring risk-aversion, The challenge. Measurement, 79, 285–301.
Toplam 28 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Matematik
Bölüm Araştırma Makalesi
Yazarlar

Kübra Durukan

Hasan Orkcu

Emel Kizilok Kara

Yayımlanma Tarihi 31 Temmuz 2019
Kabul Tarihi 25 Mart 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 12 Sayı: 1

Kaynak Göster

APA Durukan, K., Orkcu, H., & Kizilok Kara, E. (2019). Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion. Istatistik Journal of The Turkish Statistical Association, 12(1), 1-12.
AMA Durukan K, Orkcu H, Kizilok Kara E. Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion. IJTSA. Temmuz 2019;12(1):1-12.
Chicago Durukan, Kübra, Hasan Orkcu, ve Emel Kizilok Kara. “Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion”. Istatistik Journal of The Turkish Statistical Association 12, sy. 1 (Temmuz 2019): 1-12.
EndNote Durukan K, Orkcu H, Kizilok Kara E (01 Temmuz 2019) Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion. Istatistik Journal of The Turkish Statistical Association 12 1 1–12.
IEEE K. Durukan, H. Orkcu, ve E. Kizilok Kara, “Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion”, IJTSA, c. 12, sy. 1, ss. 1–12, 2019.
ISNAD Durukan, Kübra vd. “Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion”. Istatistik Journal of The Turkish Statistical Association 12/1 (Temmuz 2019), 1-12.
JAMA Durukan K, Orkcu H, Kizilok Kara E. Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion. IJTSA. 2019;12:1–12.
MLA Durukan, Kübra vd. “Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion”. Istatistik Journal of The Turkish Statistical Association, c. 12, sy. 1, 2019, ss. 1-12.
Vancouver Durukan K, Orkcu H, Kizilok Kara E. Risk Premium For Dependent Risks Using Utility Copulas And Risk Aversion. IJTSA. 2019;12(1):1-12.