Książka = Book ; KS/6/2010/T2P16

Szczegóły
Opis

Tytuł:: Książka = Book ; KS/6/2010/T2P16
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
Autorzy:: Nowak, Piotr
Romaniuk, Maciej
Data publikacji:: 2010
Wydawca:: Instytut Badań Systemowych. Polska Akademia Nauk
Systems Research Institute. Polish Academy of Sciences
Źródło:: KS-2010-06-T2P16
Język:: angielski
Prawa:: Creative Commons Attribution BY 4.0 license
Licencja Creative Commons Uznanie autorstwa 4.0
Linki:: https://rcin.org.pl/dlibra/publication/edition/198370/content Link otwiera się w nowym oknie
Dostawca treści:: RCIN - Repozytorium Cyfrowe Instytutów Naukowych
: Książka

Przejdź do źródła

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.

[5], 189-205 pages ; 21 cm

Bibliografia s. 202-205

Bibliography p. 202-205

[5], 189-205 stron ; 21 cm

Informacja

Książka = Book ; KS/6/2010/T2P16