Octav Onicescu – Omul si opera Restituiri: contributii la dezvoltarea cercetarii economice Entropia informationala în economie - Versiune preliminara
The aim of this paper consists in a thorough research of the activity and work of the academician... more The aim of this paper consists in a thorough research of the activity and work of the academician Octav Onicescu, in order to highlight his most important contributions to the development of education and research in economics and mathematics and to the economic and social progress as well. An essential issue of the activity of Octav Onicescu consists in the multidisciplinary nature of his research and activity. The most important contributions he brought are based on the results he obtained in science. The new concepts and approaches introduced by Octav Onicescu are discussed in relationship with their contributions to the progress of science. Also, the activity of the famous Romanian scientist in some key positions will be presented in order to prove his contributions to the development of the economic and social domains in Romania.
The aim of this paper consists in developing an entropy-based approach to risk assessment for act... more The aim of this paper consists in developing an entropy-based approach to risk assessment for actuarial models involving truncated and censored random variables by using the Tsallis entropy measure. The effect of some partial insurance models, such as inflation, truncation and censoring from above and truncation and censoring from below upon the entropy of losses is investigated in this framework. Analytic expressions for the per-payment and per-loss entropies are obtained, and the relationship between these entropies are studied. The Tsallis entropy of losses of the right-truncated loss random variable corresponding to the per-loss risk model with a deductible d and a policy limit u is computed for the exponential, Weibull, χ2 or Gamma distribution. In this context, the properties of the resulting entropies, such as the residual loss entropy and the past loss entropy, are studied as a result of using a deductible and a policy limit, respectively. Relationships between these entropy...
In this paper we introduce the Limited Value-at-Risk and Limited Conditional Tail Expectation ris... more In this paper we introduce the Limited Value-at-Risk and Limited Conditional Tail Expectation risk measures. Representation formulas are derived and their properties and advantages are investigated. Also, optimization problems using these mesures as objective functions are formulated and solved. Necessary and sufficient conditions for the existence of the optimal solution are obtained and analytical formulas for the solutions of the optimization problemes constructed are derived. The resultats extend previous results from the recent literature.
Globally, ecosystems are constantly degrading as a result of pressures derived from human activit... more Globally, ecosystems are constantly degrading as a result of pressures derived from human activities and climate change. For working towards the restoration of the natural balance, it is necessary to evaluate the deviations induced in the ecosystems, to identify where the changes took place, to know what is their amplitude and to decide where it is possible to get involved. Many aquatic ecosystems are depreciated and their restoration is often difficult. Development of appropriate assessment methodologies will improve the decision-making process in public policies for environmental protection and conservation of biodiversity. This study presents an assessment of the degradation level of lentic ecosystems in Romania, performed through a multi-criteria analysis. An extension of the WRASTIC index (Wastewater-Recreational-Agricultural-Size-Transportations-Indutrial-Cover) was generated, namely WRASTIC-HI. The new index was obtained by including values derived from the Potential Pollutan...
Globally, ecosystems are constantly degrading as a result of pressures derived from human activit... more Globally, ecosystems are constantly degrading as a result of pressures derived from human activities and climate change. For working towards the restoration of the natural balance, it is necessary to evaluate the deviations induced in the ecosystems, to identify where the changes took place, to know what is their amplitude and to decide where it is possible to get involved. Many aquatic ecosystems are depreciated and their restoration is often difficult. Development of appropriate assessment methodologies will improve the decision-making process in public policies for environmental protection and conservation of biodiversity. This study presents an assessment of the degradation level of lentic ecosystems in Romania, performed through a multi-criteria analysis. An extension of the WRASTIC index (Wastewater-Recreational-Agricultural-Size-Transportations-Indutrial-Cover) was generated, namely WRASTIC-HI. The new index was obtained by including values derived from the Potential Pollutan...
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2021
The aim of this paper consists in developing a univariate extreme value analysis, with applicatio... more The aim of this paper consists in developing a univariate extreme value analysis, with applications to the Pakistan Stock Exchange (PSX-100). The main focus refers to assessing the risk and statistical properties regarding the tails of the fitted heavy-tails distributions. For this purpose, we implement generalized extreme value distribution (GEV) and generalized Pareto distribution (GPD) by following the block maxima approach, peak-over threshold (POT) method and Poisson processes to several declustered periods. PSX-100 has become the emerging and best performer financial market in the south-Asian region in the last decade. Therefore, statistical properties of extreme events of the stock market have significant importance for investors. We have also addressed the modelling of Value-at-Risk (VaR) and Expected-Shortfall (ES) risk measures, in the context of extreme value theory (EVT).
Optimization of some risk measures in stop-loss reinsurance with multiple retention levels
Mathematical Reports, Mar 1, 2012
ABSTRACT We propose a new stop-loss reinsurance model with multiple retention levels. We determin... more ABSTRACT We propose a new stop-loss reinsurance model with multiple retention levels. We determine the analytical form of the stop-loss reinsurance premium with multiple retention levels and derive the Value-at-Risk and Conditional Tail Expectation measures corresponding to the aggregate loss. We build optimization problems based on minimizing some risk measures in stop-loss reinsurance with multiple retention levels and study the existence of optimal solutions. We provide necessary and sufficient conditions for the existence of the optimal retention.
The Efficient Fontier for a Portfolio that Includes One Risk-Free Asset
This paper presents a description of the efficient frontier of a portfolio composed by three asse... more This paper presents a description of the efficient frontier of a portfolio composed by three assets, including a risk-free asset. We use a data analysis method to obtain two classes of assets and then we estimate the risk of each asset corresponding to each class. Thus, we get the best two assets among those considered risky for which we build the efficient frontier if we consider that the portfolio consists of these two risky assets and a risk-free asset. The originality of our study lies in the combination of classification theory with risk estimation theory to determine the best assets. To illustrate the effectiveness of the method used, we present a case study that refers to the domestic financial market. We construct the efficient frontier, based on the correlation of the best stocks that we have obtained through data analysis (for classification), and by assessing the loss distribution (for risk assessment), taking into account that the portfolio contains an asset without risk.
This paper presents the description of the efficient frontier for a portfolio made of three asset... more This paper presents the description of the efficient frontier for a portfolio made of three assets. We use data analysis to obtain three clusters, then, we estimate the risk of each asset corresponding to each class we obtained. Thus, we get the best three assets among the ones we analyzed and for which we will construct the efficient frontier. The originality of our paper consists in the combination of classification theory and risk estimation theory to determine the best assets. To illustrate the efficiency of the method we used, we present a case study which makes reference to the stocks listed at BSE. We construct the efficient frontier based on the existent correlation of the best analyzed stocks that we obtained by data analyses (for classification), and by the evaluation of the loss repartition (for risk estimation)
This paper presents the description of the efficient frontier for a portfolio made of three asset... more This paper presents the description of the efficient frontier for a portfolio made of three assets. We use data analysis to obtain three clusters, then, we estimate the risk of each asset corresponding to each class we obtained. Thus, we get the best three assets among the ones we analyzed and for which we will construct the efficient frontier. The originality of our paper consists in the combination of classification theory and risk estimation theory to determine the best assets. To illustrate the efficiency of the method we used, we present a case study which makes reference to the stocks listed at BSE. We construct the efficient frontier based on the existent correlation of the best analyzed stocks that we obtained by data analyses (for classification), and by the evaluation of the loss repartition (for risk estimation)
In this paper we propose an algorithm for hierarchical classification, based on an ultrametric di... more In this paper we propose an algorithm for hierarchical classification, based on an ultrametric distance. We study its properties and develop an application in Microsoft Visual Studio, based on the algorithm proposed, using C# language. The software obtained will be used to classify the shares from Bucharest Stock Exchange which had profit during the last two years, in order to find similarities and differences between these shares and build a diversified portfolio. We prove that this portfolio is representative for the shares from Bucharest Stock Exchange and we study its evolution at different moments of time. We demonstrate the performance of the proposed algorithm by comparing the results obtained with the evolution of BET index, BET-C index or BET-XT index, which are representative for the capital market.
This paper focuses on analyzing the characteristics and recent evolution of the Romanian insuranc... more This paper focuses on analyzing the characteristics and recent evolution of the Romanian insurance market. Comparisons between Romania and other European countries will be performed and the relationship between the development of the insurance market and the economic development will be investigated. The causal relationships and the degree of interdependence between these phenomena will be described using quantitative techniques. The results obtained will enable us to assess the expected performance and impact of Solvency II Directive from the perspective of Horizon 2020 Programme in Romania and in the broader context of the European Union countries.
In this paper we study the problem of existence of the restricted optimal retention in a stop-los... more In this paper we study the problem of existence of the restricted optimal retention in a stop-loss reinsurance. We use an optimization criterion based on minimizing VaR risk measure. We establish necessary and sufficient conditions for the existence of the optimal retention and we derive the analytical form of the optimal retention and of the corresponding VaR risk measure. The solution obtained extends the results of [3] and [8]. The results obtained are illustrated using simulations. Computational results are provided.
Concepts of Econophysics are usually used to solve problems related to uncertainty and nonlinear ... more Concepts of Econophysics are usually used to solve problems related to uncertainty and nonlinear dynamics. The risk neutral probabilities play an important role in the theory of option pricing. The application of entropy in finance can be regarded as the extension of both information entropy and probability entropy. It can be an important tool in various financial issues such as risk measures, portfolio selection, option pricing and asset pricing. The classical approach of stock option pricing is based on Black-Scholes model, which relies on some restricted assumptions and contradicts with modern research in financial literature. The Black-Scholes model is governed by Geometric Brownian Motion and is based on stochastic calculus. It depends on two factors: no arbitrage, which implies the universe of risk-neutral probabilities and parameterization of risk-neutral probability by a reasonable stochastic process. Therefore, risk-neutral probabilities are vital in this framework. The Ent...
Reflecting on Romanian Universities Ranking: An Entropy-Based Approach to Evaluate Scientific Research
Quantitative evaluation of scientific research activity involves a set of complex methodological ... more Quantitative evaluation of scientific research activity involves a set of complex methodological aspects, many of which have not received so far the deserved attention, neither in theoretical, nor in empirical studies. The concept of entropy is widely used in decision-making problems as a useful instrument for assessing the amount and effect of information provided by certain criteria used to construct a composite indicator. This paper proposes the use of entropy to evaluate scientific research performance of academic units. The field of observation consists of Romanian universities classified either as Advanced Research and Education or Education and Scientific Research units, by national ranking exercise in 2011. Our analysis considers only ISI publications - Articles and Proceedings Papers, during 2006–2010. We argue that the evaluation of scientific research can be better addressed and these preliminary results on university rankings could be further validated when alternative m...
The area of finance has been a continuous source of challenging problems that have influenced res... more The area of finance has been a continuous source of challenging problems that have influenced research efforts on analytical and numerical solution methods for complex decision problems. In this paper we propose an original algorithm for portfolio optimization. We attack the problem in three stages: selecting assets, risk estimation, portfolio optimization. We select assets in the portfolio using principal components analysis in order to construct the initial portfolio, then we select from each of the classes obtained those assets that correspond to the minimum measure Value-at-Risk at a fixed probability level. Finally we solve the optimization problem. One numerical example is also presented for the sake of illustration.
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