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https://dspace.chmnu.edu.ua/jspui/handle/123456789/2165
Назва: | Modeling Risk Factors Interaction and Risk Estimation with Copulas |
Автори: | Kuznietsova, N. V. Huskova, V. N. Bidyuk, P. I. Matsuki, Y. Levenchuk, L. V. |
Ключові слова: | multivariate stochastic processes risk estimation special copula function smodeling multivariate distributions combined marginal distributions |
Дата публікації: | 2022 |
Видавництво: | ZAPORIZHZHYA NATL TECHNICAL UNIV |
Короткий огляд (реферат): | Context. Various risks are inherent to practically all types of human activities. Usually the risks are characterized by availability of multiple risk factors, uncertainties, incompleteness and low quality of data available. The problem of mathematical modeling of risks is very popular with taking into consideration possible uncertainties and interaction of risk factors. Such models are required for solving the problems of loss forecasting and making appropriate managerial decisions. Objective. The purpose of the study is in development of multivariate risk modeling method using specialized copula functions.The models are developed in the form of multivariate distributions. Method. The modeling methodology is based upon exploring the special features of various copula functions that are helpful to construct appropriate multivariate distributions for the risk factors selected. The study contains formal description of selected copulas, analysis of their specific features and possibilities for practical applications in the risk management area. Examples of practical applications of the copula based approach to constructing multivariate distributions using generated and actual statistical data are provided. Results. The results achieved will be useful for further theoretical studies as well as for practical applications in the area of risk management. The distributions constructed with copula create a ground for solving the problems of forecasting possible loss and making appropriate decision regarding risk management. Conclusions. Thus the problem of constructing multivariate distributions for multiple risk factors can be solved successfully using special copula functions. |
Опис: | Kuznietsova, N. V., Huskova, V. H., Bidyuk, P. I., Matsuki, Y., & Levenchuk, L. B. (2022). Modeling Risk Factors Interaction and Risk Estimation with Copulas. Radio Electronics, Computer Science, Control, (2), 43. https://doi.org/10.15588/1607-3274-2022-2-5 |
URI (Уніфікований ідентифікатор ресурсу): | https://www.webofscience.com/wos/woscc/full-record/WOS:000824869500005 http://ric.zntu.edu.ua/article/view/259311 http://ric.zntu.edu.ua/article/view/259311/255931 https://dspace.chmnu.edu.ua/jspui/handle/123456789/2165 |
ISSN: | 1607-3274 2313-688X el. |
Розташовується у зібраннях: | Публікації науково-педагогічних працівників ЧНУ імені Петра Могили у БД Web of Science |
Файли цього матеріалу:
Файл | Опис | Розмір | Формат | |
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Kuznietsova, N. V., Huskova, V. H., Bidyuk, P. I., Matsuki , Y., Levenchuk, L. B..pdf | 993.94 kB | Adobe PDF | Переглянути/Відкрити |
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