Formalization of the Problem or Risk Management in Systems of Different Natures

The paper considers the problem of formal statement of the general problem of integrated risk management in complex systems as a whole of different nature. Relevance of such formulations caused with the fact that the existing approaches are directed to local non-systemic risk analysis that do not focus on different and often multidisciplinary nature of the risks, and are not able to overcome the problem of cascaded development of risks. The statement of the problem based on the Merton model is considered. This model shows generalized, universal and idealized approach, where the risk is not presented in an explicit form, and therefore a detailed risk analysis is not valid in this case. The proposed approach to the problem formalization and solving is based on a detailed study of risk factors and situations. The optimal control strategy is based on the functional that provides a minimum negative effect of the risks in the system as a whole, minimizing the costs of risk management and provides prevention of the system ruin.

Publication year: 
2013
Issue: 
6
УДК: 
303.732, 517.9
УДК: 
517.9
УДК: 
303.732
С. 49–54., Бібліогр.: 7 назв.
References: 

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References [transliteration]: 

1. Systemnyĭ pidkhid do modeli͡uvanni͡a prohnozuvanni͡a ta upravlinni͡a finansovo-ekonomichnymy prot͡sesamy / O.V. Polovt͡sev, P.I. Bidi͡uk, L.O. Korshevni͡uk, I.I. Semenchev – Donet͡s′k: TOV “Skhidnyĭ vydavnychyĭ dim”, 2009. – 286 s.
2. Blank I.A. Upravlenie finansovymi riskami. – K.: Nika-T͡Sentr, 2005. – 600 s.
3. Ėnt͡siklopedii͡a finansovogo risk-menedzhmenta / Pod red. A.A. Lobanova i A.V. Chugunova. – M.: Al'pina Biznes Buks, 2006. – 878 s.
4. Zgurovskiĭ M.Z., Pankratova N.D. Sistemniĭ analiz. Problemy, metodologii͡a, prilozhenii͡a. – K.: Nauk. dumka, 2005. – 744 s.
5. C. Hipp, “Stochastic Control with Application in Insurance”, in Stochastic Methods in Finance, K. Back et al., Eds. Springer, 2004, pp. 127–164.
6. R.C. Merton, “Optimum consumption and portfolio rules in a continuous-time model” J. Econom. Theory, vol. 3, pp. 373–413, 1971.
7. Uotshem T.Dzh., Parramou K. Kolichestvennye metody v finansakh. – M.: Finansy, I͡UNITI, 1999. – 527 s.

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