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RCIN and OZwRCIN projects

Object

Title: 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

Creator:

Nowak, Piotr (matematyka) ; Romaniuk, Maciej

Date issued/created:

2010

Resource type:

Tekst

Subtitle:

Książka = Book ; KS/6/2010/T2P16

Publisher:

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

Place of publishing:

Warszawa

Description:

[5], 189-205 stron ; 21 cm ; Bibliografia s. 202-205

Type of object:

Książka/Rozdział

Abstract:

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.

Relation:

Książka = Book

Detailed Resource Type:

Książka

Resource Identifier:

oai:rcin.org.pl:198370

Source:

KS-2010-06-T2P16

Language:

eng

Language of abstract:

eng

Rights:

Licencja Creative Commons Uznanie autorstwa 4.0

Terms of use:

Zasób chroniony prawem autorskim. [CC BY 4.0 Międzynarodowe] Korzystanie dozwolone zgodnie z licencją Creative Commons Uznanie autorstwa 4.0, której pełne postanowienia dostępne są pod adresem: ; -

Digitizing institution:

Instytut Badań Systemowych Polskiej Akademii Nauk

Original in:

Biblioteka Instytutu Badań Systemowych PAN

Projects co-financed by:

Program Operacyjny Polska Cyfrowa, lata 2014-2020, Działanie 2.3 : Cyfrowa dostępność i użyteczność sektora publicznego; środki z Europejskiego Funduszu Rozwoju Regionalnego oraz współfinansowania krajowego z budżetu państwa

Access:

Otwarty

Object collections:

Last modified:

Oct 15, 2021

In our library since:

Jul 19, 2021

Number of object content downloads / hits:

46

All available object's versions:

https://rcin.org.pl./publication/234693

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