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Information × Registration Number 0214U002693, 0113U003010 , R & D reports Title Mathematical modeling, optimal risk management. Approximate methods of risk assessment, problem of optimal prediction and identification popup.stage_title Head Bondarev Boris Vladimirovich, Registration Date 24-01-2014 Organization Donetsk National University popup.description2 Object of research - new mathematical models of the evolution of risky assets prices , the new models of consumer funds accumulative functions of insurance companies, as well as the problem of estimating the probabilities of non-ruin and other efficiency indicators of insurance companies, particularly those who work in the financial (B, S) - market. Goal - the construction and study of mathematical models of insurance companies and foundations, the development of methods for estimating financial risks and management. Methods - methods of probability theory and mathematical statistics, stochastic processes, stochastic analysis, differential equations. Investigated - lower bounds for the probability of non-ruin insurance company that operates in discrete time, and the insurance company that operates on (B, S)- market, with the price of risky asset described by Clark model . Random effects: independent associated martingale dependence, and the impact that satisfy strong and uniformly strong mixing were considered. A lower bound for the transition probability density solutions of the diffusion equation and the transition probability density jump equation constructed rate of convergence to the ergodic distribution was found. The rate of convergence Ornstein-Uhlenbeck process with jumps to the ergodic distribution was found. We derived integro-differential equations for the probability of non-ruin of the insurance company on a finite and infinite time intervals with the cost of advertising. The cases of models with stochastic premiums were considered.PROBABILITY OF NON-RUIN , THE ERGODIC DISTRIBUTION, INTEGRO-DIFFERENTIAL EQUATIONS, THE TRANSITION PROBABILITY DENSITY. Product Description popup.authors Баєв А.В. Болдирєва В.О. Бондарев Б.В. Жмихова Т.В. Романов Д.І. Сімогін А.А. Сенаторов О.С. Сосницький О.Є. Стаднік А.Ю. Шурко І.Л. Шурко Г.К. Ярош С.Ю. popup.nrat_date 2020-04-02 Close