Tytuł:

Developments in fuzzy sets, intuitionistic fuzzy sets, generalized nets and related topics. Volume II: Applications * Fuzzy approach to evaluation of portfolio of financial and insurance instruments

Inny tytuł:

Książka = Book ; KS/6/2010/T2P16

Twórca:

Nowak, Piotr (matematyka) ; Romaniuk, Maciej

Wydawca:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Miejsce wydania:

Warszawa

Data wydania/powstania:

2010

Opis:

[5], 189-205 pages ; 21 cm ; Bibliography p. 202-205

Typ obiektu:

Book/Chapter

Abstrakt:

In this paper we evaluate the model of portfolio which consists of a few layers of insurance and financial instruments. The approach based on neutral martingale method and Monte Carlo simulations is used. In order to price the catastrophe bond we use fuzzy parameters and apply Vasicek model under assumption of independence between catastrophe occurrence and behaviour of financial market. Then the simulations based on the obtained fuzzy pricing formula are carried out. The presented fuzzy sets approach may incorporate expertise knowledge to overcome lack of precise data in the discussed case.

Czasopismo/Seria/cykl:

Książka = Book

Typ zasobu:

Text

Szczegółowy typ zasobu:

Book

Źródło:

KS-2010-06-T2P16

Język:

eng

Język streszczenia:

eng

Prawa:

Creative Commons Attribution BY 4.0 license

Zasady wykorzystania:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitalizacja:

Systems Research Institute of the Polish Academy of Sciences

Lokalizacja oryginału:

Library of Systems Research Institute PAS

Dofinansowane ze środków:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Dostęp:

Open