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

Subtitle:

Książka = Book ; KS/6/2010/T2P16

Creator:

Nowak, Piotr (matematyka) ; Romaniuk, Maciej

Publisher:

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

Place of publishing:

Warszawa

Date issued/created:

2010

Description:

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

Type of object:

Book/Chapter

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

Resource type:

Text

Detailed Resource Type:

Book

Source:

KS-2010-06-T2P16

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

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: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

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.

Access:

Open