Illichevskuj S. Modeling the Insolvency Risk of Insurance Company.

The dissertation investigates the background, history, development, current status, controversies and prospects of development of the Ukrainian insurance market; analyzes existing economic and mathematical methods for modeling and predicting the risk of insolvency of the insurance company; offers new models based on artificial neural networks, Bayesian networks, and compared with the existing two-sided bounds for ruin probabilities models and for semi-Markov process. A new model of insolvency risk of the insurance company was built based on Bayesian networks, which includes such factors as macroeconomic indicators that may affect possible second wave of European and world financial-economic crisis in 2013-2015; legislative requirements for restrictions participants, financial indicators and management solutions for company. A model of integrated insolvency risk of the insurance company was built based on four models: a model based on Bayesian network model, two-sided bounds model of A.G. Gureev, two-sided bounds model V.V. Kalashnikov and model-based semi-Markov process. Using this integrated model of insolvency risk of the insurance company was built a forecast was built for 20 insurance companies in Ukraine, which were selected by stratified random sampling.