Sosnitskiy O. Stochastic modeling of investments on financial and insurance market.

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0414U004245

Thesis Registration Form

0414U004245.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

29-09-2014

Specialized Academic Board

Д 26.001.37

Taras Shevchenko National University of Kyiv

Essay

The thesis is devoted to solution of problems related with the modeling of investor's activities at the financial and insurance markets, namely: modeling of risky asset prices, finding the optimal management of assets portfolio, estimates for the probability of non-ruin of an insurance company. As mathematical model of the evolution of risky asset prices the model of P. Clark is used together with the modification of the P. Samuelson model, which includes jump component. The functioning of the insurance company in continuous and discrete time is under investigation.

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Files

aref.doc

diss.doc

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