Showing papers by "Central Economics and Mathematics Institute published in 2016"
TL;DR: In this article, two types of collaboration can be distinguished: a positive collaboration (not directed against third parties) and negative collaboration, and the authors consider the hypothesis that in the process of social development, the transaction costs ratio of the three main types of coordination is changing in favor of the latter.
21 citations
TL;DR: The aim of providing a solution to the BLP problem in question is to consider this problem by stating it as a bilevel programming (BLP) model and a direct algorithm based on sensitivity analysis (SA) is proposed.
Abstract: Purpose – One of the most important problems concerning the toll roads is the setting of an appropriate cost for traveling through private arcs of a transportation network. The purpose of this paper is to consider this problem by stating it as a bilevel programming (BLP) model. At the upper level, one has a public regulator or a private company that manages the toll roads seeking to increase its profits. At the lower level, several companies-users try to satisfy the existing demand for transportation of goods and/or passengers, and simultaneously, to select the routes so as to minimize their travel costs. In other words, what is sought is kind of a balance of costs that bring the highest profit to the regulating company (the upper level) and are still attractive enough to the users (the lower level). Design/methodology/approach – With the aim of providing a solution to the BLP problem in question, a direct algorithm based on sensitivity analysis (SA) is proposed. In order to make it easier to move (if nec...
18 citations
TL;DR: A method of multi-version program or project implementation plan management that relies on versions that have been justified and prepared in the course of long-term plan development and are supplemented by potential deviations from the established program path, which occur as a result of various risk conditions.
Abstract: Background/Objectives: This article deals with financial and economic methods for risk neutralization, with risk mitigation, acceptance or transfer being of particular attention. Methods/Statistical Analysis: A management procedure comprised of two stages has been proposed as the principal methodological approach to solve this challenge. At the first stage, an alternative project implementation plan is selected, based on the cost-effectiveness criterion, and risk indicators are considered quality indicators. At the second stage, the risk management procedure that has been proposed by the authors is implemented, using a dedicated financial and production provision. Findings: To account for increasing uncertainty of sci-tech and economic support processes of implementation of programs, plans and projects aiming at developing a knowledge-intensive and high-tech product, principles of forming a new concept of acceptable risk have been justified. This concept exploits capabilities of the new tools to mitigate and compensate any risks arising from financial and economic, scientific and technical, and engineering and manufacturing factors. To assess acceptable innovative project implementation alternatives, an economic and mathematical model has been built up, based on the concept of acceptable risk. The authors have hereby proposed a method of multi-version program or project implementation plan management. This method relies on versions that have been justified and prepared in the course of long-term plan development and are supplemented by potential deviations from the established program path, which occur as a result of various risk conditions. To improve assessment accuracy, risks should be considered at the stage of forming a knowledge-intensive and high tech product development plan a priori or a posteriori. Application/Improvements: The main advantage of the methodology and tools proposed is an ability to develop a new managerial decision-making frame that allows for qualitative synthesis of multiple event scenarios and quantitative analysis of effects.
11 citations
TL;DR: In this article, the authors compare two mathematical insurance models with identical insurance company strategies in a financial market, namely, when the entire current surplus or its constant fraction is invested in risky assets (stocks), while the rest of the surplus is invested into a risk-free asset (bank account).
Abstract: Previous and new results are used to compare two mathematical insurance models with identical insurance company strategies in a financial market, namely, when the entire current surplus or its constant fraction is invested in risky assets (stocks), while the rest of the surplus is invested in a risk-free asset (bank account). Model I is the classical Cramer–Lundberg risk model with an exponential claim size distribution. Model II is a modification of the classical risk model (risk process with stochastic premiums) with exponential distributions of claim and premium sizes. For the survival probability of an insurance company over infinite time (as a function of its initial surplus), there arise singular problems for second-order linear integrodifferential equations (IDEs) defined on a semiinfinite interval and having nonintegrable singularities at zero: model I leads to a singular constrained initial value problem for an IDE with a Volterra integral operator, while II model leads to a more complicated nonlocal constrained problem for an IDE with a non-Volterra integral operator. A brief overview of previous results for these two problems depending on several positive parameters is given, and new results are presented. Additional results are concerned with the formulation, analysis, and numerical study of “degenerate” problems for both models, i.e., problems in which some of the IDE parameters vanish; moreover, passages to the limit with respect to the parameters through which we proceed from the original problems to the degenerate ones are singular for small and/or large argument values. Such problems are of mathematical and practical interest in themselves. Along with insurance models without investment, they describe the case of surplus completely invested in risk-free assets, as well as some noninsurance models of surplus dynamics, for example, charity-type models.
8 citations
14 Nov 2016
TL;DR: It turns out that empirically, the best smoothing functions to use in this method are the Gaussian and Cauchy functions.
Abstract: One of the main problems of optimization algorithms is that they often end up in a local optimum It is, therefore, necessary to make sure that the algorithm gets out of the local optimum and eventually reaches the global optimum One of the promising ways guiding one from the local optimum is prompted by the filled function method It turns out that empirically, the best smoothing functions to use in this method are the Gaussian and Cauchy functions In this paper, we provide a possible theoretical explanation of this empirical effect
4 citations
TL;DR: The methodology exploits factor analysis and “expert and statistical regression model” (with “training samples” available), and includes a multicriterion scheme.
Abstract: Proposed basic concepts and methodology, and described information sources are aimed to construct and use in practice the aggregative quality of life indicators at the level of a region or a country. The methodology exploits factor analysis (with “no training samples” available) and “expert and statistical regression model” (with “training samples” available), and includes a multicriterion scheme. This work was supported by the Swiss National Science Foundation (Contract #7IP65730), and by the Russian Foundation for Humanities (Projects #02-02- 00166a and #02-05-12005B).
4 citations
TL;DR: In this article, the authors developed policy analysis methodologies aimed at assessing land use policies: namely, rating of land redistribution policies; factor analysis applied to comparing these policies; modified Kobb-Douglas production function that allows land distribution as a GNP generating factor.
Abstract: Russian Abstract: Разработаны методы оценки политик перераспределения земель: рейтинговая оценка политик перераспределения земель, оценка политик при по-мощи факторного анализа, а также модификация производственной функции Кобба-Дугласа с включением распределения земель в качестве фактора, генерирующего ВВП. Инструментарий оценки, предложенный в статье, полезен для совершенствования нормативно-правовой базы перераспределения земельных ресурсов между сельским хозяйством и застройкой. Методы оценки сопровождены примерами их применения с использованием ограниченной информационной базы.
English Abstract: The paper develops policy analysis methodologies aimed at assessing land use policies: namely, rating of land redistribution policies; factor analysis applied to comparing these policies; modified Kobb-Douglas production function that allows land distribution as a GNP generating factor. This evaluation tool set is useful for the purpose of improving legislation that regulates distribution of land between agricultural use and developing. The methodologies are illustrated with examples of their use based on a limited data base.
3 citations
TL;DR: An algorithm is developed for computing an American option and a corresponding new example is solved with this algorithm.
Abstract: We establish existence conditions for extremal probability measures, study their properties, and consider applications of such measures for solving the perfect hedging problem for American options on incomplete "frictionless" markets with finite horizon. We develop an algorithm for computing an American option and solve a corresponding new example with this algorithm.
3 citations
TL;DR: In this article, a rational firm expanding on a regulated competitive insurance market is modeled, where the revenue's growth may be slower than the growth in reserves needed to maintain the annual probabilities of ruin equal to a legally predetermined value.
Abstract: This paper aims to model a rational firm expanding on a regulated competitive insurance market. While the market is profitable, an aggressive price cut makes the firm’s market shares and revenue climb due to immigration of insureds. But the revenue’s growth may be slower than the growth in reserves needed to maintain the annual probabilities of ruin equal to a legally predetermined value. It will result in a progressive run-out of the funds allocated for the company’s strategic growth and is fraught with inability to meet the legal solvency requirements.
3 citations
TL;DR: In this paper, the authors propose an approach accounting for ad valorem expenses incidental to property management, such as land taxes, income/capital gains tax, and insurance premium costs; all such costs, being of an ad-valorem nature in the first instance, cause circularity in the logic of the model.
Abstract: To develop ideas on building element valuation contained in the first article on the subject published in REMV, we propose an elaboration of the approach accounting for ad valorem expenses incidental to property management, such as land taxes, income/capital gains tax, and insurance premium costs; all such costs, being of an ad valorem nature in the first instance, cause circularity in the logic of the model, which, however, is not intractable under the proposed approach. The resulting formulas for carrying out practical estimation of building rental multipliers and, in consequence, of building values, turn out to be somewhat modified, and we demonstrate the sensitivity of the developed approach to the impact of these ad valorem factors. On the other hand, it is demonstrated that (accounting for) building depreciation charges, which should seemingly be included among the considered ad valorem factors, cancel out and do not have any impact on the resulting estimates. However, treating the depreciation of buildings in quantifiable economic terms as a reduction in derivable operating benefits over time (instead of mere physical indications, such as age), we also demonstrate that the approach has implications for estimating the economic service lives of buildings and can be practical when used in conjunction with the market-related approach to valuation – from which the requisite model inputs can be extracted as shown in the final part of the paper.
2 citations
TL;DR: The innovative potential of the discussed environment is shaped by the use of a multi-aspect taxonomy of semantic linkages between the system’s information objects, their online declaration by the users, and the availability of a service to notify the authors of the objects being linked together of such event.
Abstract: This paper focuses on the principles and capabilities of a virtual communication system that facilitates new forms of scientific communications and evaluation of research productivity, as well as the specifics of its implementation based on the major Socionet open access research-information system. The innovative potential of the discussed environment is shaped by the use of a multi-aspect taxonomy of semantic linkages between the system's information objects, their online declaration by the users, and the availability of a service to notify the authors of the objects being linked together of such event.
TL;DR: In this paper, the authors investigate two insurance mathematical models of the following behavior of an insurance company in the insurance market: the company invests a constant part of the capital in a risk asset (shares) and invests the remaining part in the risk free asset (a bank account).
Abstract: We investigate two insurance mathematical models of the following behavior of an insurance company in the insurance market: the company invests a constant part of the capital in a risk asset (shares) and invests the remaining part in a risk-free asset (a bank account). Changing parameters (characteristics of shares), this strategy is reduced to the case where all the capital is invested in a risk asset. The first model is based on the classical Cramer–Lundberg risk process for the exponential distribution of values of insurance demands (claims). The second one is based on a modification of the classical risk process (the so-called stochastic premium risk process) where both demand values and insurance premium values are assumed to be exponentially distributed. For the infinite-time nonruin probability of an insurance company as a function of its initial capital, singular problems for linear second-order integrodifferential equations arise. These equations are defined on a semiinfinite interval and they have nonintegrable singularities at the origin and at infinity. The first model yields a singular initial-value problem for integrodifferential equations with a Volterra integral operator with constraints. The second one yields more complicated problem for integrodifferential equations with a non-Volterra integral operator with constraints and a nonlocal condition at the origin. We reduce the problems for integrodifferential equations to equivalent singular problems for ordinary differential equations, provide existence and uniqueness theorems for the solutions, describe their properties and long-time behavior, and provide asymptotic representation of solutions in neighborhoods of singular points. We propose efficient algorithms to find numerical solutions and provide the computational results and their economics interpretation.
28 Nov 2016
TL;DR: A parallel algorithm for computing a solution in a multiregion dynamic general equilibrium model based on an iterative method of the Gauss–Seidel type and exploits a special block structure of the model is developed and analyzed.
Abstract: We develop and analyze a parallel algorithm for computing a solution in a multiregion dynamic general equilibrium model. The algorithm is based on an iterative method of the Gauss–Seidel type and exploits a special block structure of the model. Calculation of prices and input-output ratios in production for different time steps is carried out in parallel. We implement the parallel algorithm using the OpenMP interface for systems with shared memory. The efficiency of the algorithm is studied with the numbers of cores varying in the full range from one to the number of time steps of the model.
TL;DR: The rise of nationalism in many countries in recent decades, as measured by the decline in the “pride in your own country” indicator from the World Values Survey, is statistically significantly related to the growth rates of per capita income and change in income inequality within the country.
Abstract: The reversal of the trend towards the decline in income inequalities in the last three decades in most countries created favorable grounds for the rise of nationalist and anti-globalization feelings. Economic failures of countries, groups of people and individuals are among important factors that cause nationalism. The rise of nationalism in many countries in recent decades, as measured by the decline in the “pride in your own country” indicator from the World Values Survey, is statistically significantly related to the growth rates of per capita income and change in income inequality (Gini coefficient) within the country. When globalization is properly managed, it is good for growth and income distribution and does not lead to nationalism. But if it is accompanied by the decline in real incomes for large masses of people, nationalist political forces get additional arguments for instigating anti-globalization and isolationist feelings. The rise in income inequalities within major countries since the 1980s poses a threat not only to social stability, but also to globalization.
TL;DR: In this paper, the authors present the economic and analysis of the transition transition of partialri-food policy in Kazakhstan, which presents a conservative approach to EA which presents the EA to evaluate the effects of any partialrifood policy at any country.
Abstract: Russian Abstract: В работе представлен экономико-математический анализ вероятных последствий перехода к единой агропродовольственной политике в трёх странах ЕАЭС – Беларуси, Казахстане и России. Использована авторская модификация экономико-математической модели частичного равновесия EPACIS, в которой устранены недостатки, связанные с альтернативными решениями и проблемами вычислительного характера.Обоснована целесообразность консервативного подхода к интеграционным процессам в ЕАЭС, заключающегося в первоочередной интеграции рынков, наименее подверженных интеграционным стрессам; в приоритете повышения конкурентоспособности низкоэффективных отраслей перед интеграцией рынков; в готовности приостановить действие актов, направленных на углубление интеграции, при выявлении неблагоприятных последствий.English Abstract: The paper presents the economic and mathematical analysis of the likely consequences of the transition to a single agri-food policy in the three countries EAEC - Belarus, Kazakhstan and Russia. Use any copyrighted modification of economic-mathematical model of partial equilibrium EPACIS, which eliminates the drawbacks associated with alternative solutions and computational problems.The expediency of a conservative approach to integration processes in the EAEC, consisting in the integration of primary markets, the integration of the least prone to stress; the priority of improving the competitiveness of inefficient sectors to the integration of markets; ready to suspend the acts aimed at deepening integration, the detection of adverse effects.