Central Economics and Mathematics Institute

About: Central Economics and Mathematics Institute is a facility organization based out in Moscow, Russia. It is known for research contribution in the topics: Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publications receiving 6449 citations. The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.

Essential Supremum with Respect to a Random Partial Order

Abstract: Inspired by the theory of financial markets with transaction costs, we study a concept of essential supremum in the framework where a random partial order in $\R^d$ is lifted to the space $L^0(\R^d)$ of $d$-dimensional random variables. In contrast to the classical definition, we define the essential supremum as a subset of random variables satisfying some natural properties. An application of the introduced notion to a hedging problem under transaction costs is given.

Опыт составления рейтинга российских экономических журналов

Abstract: The article presents the results of the rating of Russian economic journals, the methodology of which is based on a combination of bibliometric data and expert interviews. Processing of the statistical information system of Russian science citation index (RINC) allows us to form a “primary” list of the best journals in the country. Expert evaluation of the list makes it possible to reorganize it with regard to the scientific level of periodicals and get the “secondary” list. The merger of two ranking systems forms the basis of obtaining the final ranking of economic journals. It is shown that the leading part of the constructed rating forms a kind of the Diamond List of journals, which on the whole agrees with similar lists obtained in earlier studies by other authors.

Equilibrium prices in a random exchange economy with dependent agents

Abstract: This paper presents a model of a Walrasian exchange economy in which the preferences and endowments of the agents are random. Stochastic interaction among the agents is formally described in terms of dependency neighborhoods. The main result is a characterization of the distribution of market-clearing prices in a large economy.

Singular Problems for Integro-differential Equations in Dynamic Insurance Models

Abstract: A second-order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditions at the singular points, and some natural assumptions, the problem is a singular initial problem with limit normalizing conditions at infinity. An existence and uniqueness theorem is proved and asymptotic representations of the solution are given. A numerical algorithm for evaluating the solution is proposed; calculations and their interpretation are discussed. The main singular problem under study describes the survival (non-ruin) probability of an insurance company on infinite time interval (as a function of initial surplus) in the Cramer–Lundberg dynamic insurance model with an exponential claim size distribution and certain company’s strategy at the financial market assuming investment of a fixed part of the surplus (capital) into risky assets (shares) and the rest of it into a risk-free asset (bank deposit). Accompanying “degenerate” problems are also considered that have an independent meaning in risk theory.

Совершенствование Механизмов Государственного Регулирования Российского Рынка Зерна (Improvement of Mechanisms of State Regulation of the Russian Grain Market)

Abstract: Russian Abstract:На основании анализа российской и зарубежной практики регулирования рынка зерна и компьютерных экспериментов на имитационной модели российского рынка пшеницы установлены причины, по которым меры по регулированию российского рынка зерна не достигали, как правило, целей, сформулированных в Законе о развитии сельского хозяйства, принятом в 2006 г. Обоснованы предложения по совершенствованию механизмов регулирования. Важнейшие из них: товарные и закупочные интервенции должны осуществляться по установленным законом правилам и по заранее утвержденным, а не по текущим биржевым ценам; целесообразна регламентация товарных и закупочных интервенций на рынке зерна с использованием правил, прозрачных для рынка и допускающих независимый контроль их выполнения; предложена формула для ежегодного уточнения границ ценового коридора. В процессе совершенствования системы регулирования национального рынка зерна предложено придерживаться стратегии, направленной на переход в перспективе от системы товарных и закупочных интервенций к системе компенсации ценовых потерь, аналогичной введённой в США с 2014 г. English Abstract: Basing on the analysis of Russian and foreign practices of grain market regulation and computer experiments on the imitation model of the Russian wheat market, the paper proposes the reasons why the measures to regulate the Russian grain market did not reach, as a rule, the goals set forth in the Law on Agricultural Development adopted in 2006. Proposals for improving regulatory mechanisms are justified. The most important of them: commodity and procurement interventions should be carried out according to the rules established by law and according to pre-approved, and not at current exchange prices; It is advisable to regulate commodity and procurement interventions in the grain market using rules that are transparent to the market and allow independent monitoring of their implementation; The formula for annual specification of borders of a price corridor is offered. In the process of improving the system of regulation of the national grain market, it is suggested to follow a strategy aimed at moving in the long term from the system of commodity and purchasing interventions to the system of compensation for price losses similar to that introduced in the United States in 2014.