RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
General information
Latest issue
Archive
Impact factor
Journal history

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Fundam. Prikl. Mat.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Fundam. Prikl. Mat., 2018, Volume 22, Issue 3, Pages 19–35 (Mi fpm1802)  

Sensitivity analysis of some applied probability models

E. V. Bulinskaya, B. I. Shigida

Lomonosov Moscow State University

Abstract: During the last two decades, new models were developed in actuarial sciences. Different notions of insurance company ruin (bankruptcy) and other objective functions evaluating the company performance were introduced. Several types of decision (such as dividend payment, reinsurance, investment) are used for optimization of company functioning. Therefore, it is necessary to be sure that the model under consideration is stable with respect to parameter fluctuation and perturbation of underlying stochastic processes. The aim of this paper is the description of methods for investigation of these problems and presentation of recent results concerning some insurance models. Numerical results are also included.

Funding Agency Grant Number
Russian Foundation for Basic Research 17-01-00468_а


Full text: PDF file (298 kB)
References: PDF file   HTML file

UDC: 519.21

Citation: E. V. Bulinskaya, B. I. Shigida, “Sensitivity analysis of some applied probability models”, Fundam. Prikl. Mat., 22:3 (2018), 19–35

Citation in format AMSBIB
\Bibitem{BulShi18}
\by E.~V.~Bulinskaya, B.~I.~Shigida
\paper Sensitivity analysis of some applied probability models
\jour Fundam. Prikl. Mat.
\yr 2018
\vol 22
\issue 3
\pages 19--35
\mathnet{http://mi.mathnet.ru/fpm1802}


Linking options:
  • http://mi.mathnet.ru/eng/fpm1802
  • http://mi.mathnet.ru/eng/fpm/v22/i3/p19

    SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru


    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles
  • Фундаментальная и прикладная математика
    Number of views:
    This page:53
    Full text:20
    References:15

     
    Contact us:
     Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2019