Baiev A. Mathematical modeling and control dynamics of risky assets with guaranteed quality control

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0413U002343

Thesis Registration Form

0413U002343.pdf

Applicant for

Specialization

  • 01.05.01 - Теоретичні основи інформатики та кібернетики

21-03-2013

Specialized Academic Board

Д 26.194.02

V.M. Glushkov Institute of Cybernetics of National Academy of Sciences of Ukraine

Essay

The thesis is devoted to the modeling of prices of risky assets, as well as issues related to the optimization of an insurance company, or storage-consumer fund, operating at (B,S) - market. As a model of risky assets are Paul Samuelson model and the generalized model with Ornstein-Uhlenbeck process as a stochastic basis as a criterion of optimization of the storage-consumer Fund are various functional quality. For insurance companies determining parameter is the probability of ruin

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Files

OKD.txt

aref.doc

dis.doc

dis.doc

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