Search academic texts

Information × Registration Number 0215U003610, 0113U003063 , R & D reports Title Stochastic models of bunkrupcy of finanlial institutions. Methods of modeling and management of financial flows popup.stage_title Head Yeleyko Ya. I., Registration Date 04-03-2015 Organization Ivan Franko National University of Lviv popup.description2 Models of competitive interaction of oligopolists with several random strategies are built. The search technique of "corrected" Nash equilibrium for a single class of distributions is suggested. There is considered the case that characterises the situation inherent in completely new product markets, where each producer is in the face of uncertainty concerning demand for the goods and decides on output at one's own risk. The connection between the "corrected" Nash equilibrium concerning competitions with random strategies and determinate case is analysed. Financial condition of insurance company is predicted using Markov chains. An outcome that gives grounds to investigate the money flow in insurance company under certain conditions is achieved. There is presented how Markov process can be used as part of actuarial modelling. Using the Chapman-Kolmogorov equation, knowing the force of morbidity, the calculation of time-dependent probabilities of insurance company client to fallillis made. The valuation of the basic insured accidents and the cost of medical services in case of constant transition probabilities is made. Methods of calculating the numerical results that can be used for a finite number of states that can be a useful tool in the analysis of complex actuarial issues such as income from insurance activity and long-term insurance are suggested. The theorem concerning the shape of the differential equation for the function of distribution of the probability of bankruptcy of insurance company under non-classical conditions is formulated and proven. The conditions of equilibrium for estimation of fair price of European option using generalized Black-Sholes models, where parameters change with time, are found. The formulae for calculation of the fair price of shares, prices of risk and risk-free assets under uncertainty are considered. There is defined the concept of the average measure and the concept of risk in terms of the theory of fuzzy sets, which gives a more accurate evaluation of the risks that may be faced by a particular company since, as a result of fuzziness, many options are not available for an accurate measure, then subjective component that is expressed by fuzzy valuations inevitablyappears in its assessment. The example of modification of Borda rules and construction of models of collective expert assessment in a random environment that allows making decisions in case of absence of information about the situation is shown. A new approach to the introduction of probability measure on the space of paths is suggested,a definition of path within detachable controlled Markov process and collapse function are changed. Correctness of definitions and existence of optimal strategies in conditions of new probability measure are shown. The sufficiency of simple strategies in finite and countable models is proven. Assessments of the probability of insurance company bankruptcy for subexponential distributions are found (Pareto and Veybull distributions with certain parameters and for type II of Benktander distribution). The process of transformation of financial flows through a commercial bank is presented as the work of multichannel service system with failures and simplest flow of orders and exponential or random time-sharing service. Using analytical methods and simulation models, algorithms are built and formulae are deduced to determine the stationary performance characteristics of transformation of financial flows through commercial bank: the absolute and relative bandwidth, the average number of orders for service, the average number of occupied channels, probability of states correspondent account Product Description popup.authors Єлейко Ярослав Іванович Ардан Роман Володимирович Базилевич Ірина Богданівна Дмитрів Соломія Володимирівна Жерновий Юрій Васильович Кінаш Орест Михайлович Косаревич Катерина Вікторівна Коцюба Ігор Богданович Кушнір Ірина Богданівна Лебедєв Олександр Андріцович Хархаліс Василина Ігорівна Шпак Павло Романович popup.nrat_date 2020-04-02 Close