Temat: STATISTICAL SIMULATION METHODS

Skocz do pozycji: 1.

Tytuł:: DYNAMIC FINANCIAL ANALYSIS IN THE INSURANCE COMPANY – CONCEPTION, PROCESS AND APPLICATION (Dynamiczna analiza finansowa w zakladzie ubezpieczen - koncepcja, przebieg i zastosowanie)
Autorzy:: Wartini, Joanna
Tematy:: INSURANCE COMPANIES
OPTIMIZATION TECHNIQUES
STATISTICAL SIMULATION METHODS; Pokaż więcej
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Powiązania:: https://bibliotekanauki.pl/articles/599517.pdf Link otwiera się w nowym oknie
Opis:: Dynamic Financial Analysis has become the irreplaceable and comprehensively used tool used by insurance companies. The process of Dynamic Financial Analysis is not accidental, it involves the stochastic scenario generator, input and output. It integrates various models and techniques from finance and actuarial science into one 'multivariate' dynamic simulation model. That modern approach to risk management and decision making provides for the integrated and holistic quantitative analysis of all significant risk factors affecting the insurer, helping management improve the business strategy.
Dostawca treści:: Biblioteka Nauki

Artykuł

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Skocz do pozycji: 2.

Tytuł:: Sampling methods for investment portfolio formulation procedure at increased market volatility
Autorzy:: Dzicher, Mateusz
Tematy:: Investment decisions
Optimization techniques
Portfolio selection
Statistical simulation methods; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/2027253.pdf Link otwiera się w nowym oknie
Opis:: Aim/purpose–In this paper, a market volatility-robust portfolio composition frame-work under the modified Markowitz’s approach with the use of sampling methods is developed in order to improve the allocation efficiency for a portfolio of financial instruments formulation procedure at an increased market volatility.Design/methodology/approach–In order to overcome the risk of not receiving an optimal solution to the portfolio optimization (suboptimal outcomes of attribution of weights in allocation procedures) the developed model, first, implements the rationale that financial markets largely feature two states, i.e., quiescent (non-crisis; low market volatility) periods that are occasionally interspersed with stress (crisis; high market volatility) periods and, second, relies on many input samples of rates of return, either from an empirical distribution or a theoretical distribution (mitigating estimation risk). All computational results are reported for publicly available historical daily data sets on selected Polish blue-chip securities. Findings–Not only did the presented method produce more diversified allocation, but also successfully minimized the unfavorable effects of increased market volatility by providing less risky portfolios in comparison to Newton’s method, typically used for optimization under portfolio theory. Research implications/limitations–The research emphasized that in order to get a more diversified investment portfolio it is crucial to outdo the limitations of a single sample approach (utilized in Markowitz’s model) which may on some occasions be statistically biased. Thus it was proved that sampling methods allow to obtain a less concentrated and volatile allocation which contributes the investment decision-making. However, the current research focused solely on publicly available input data of particular securities. In this manner, an additional analysis can be prepared for other jurisdictions and asset classes. There can also be considered a use of other than variance risk measures.Originality/value/contribution–The suggested framework contributes to existing methods a wide array of quantitative data analysis and simulation tools for composing an unique approach that directly addresses the task of minimizing the adverse implications of increased market volatility that, in consequence, pertains to knowledgeable attributing of investment portfolio proportions of either individual or institutional investors. The prepared method is also proved to hold demanded computational quality and, importantly, the capacity for further development.
Dostawca treści:: Biblioteka Nauki

Artykuł

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Skocz do pozycji: 3.

Tytuł:: Analysis of two-stage endo-atmospheric separation using statistical methods
Autorzy:: Samani, M.
Pourtakdoust, S. H.
Tematy:: separation
safe distance
uncertainty
statistical methods
Monte Carlo simulation; Pokaż więcej
Wydawca:: Polskie Towarzystwo Mechaniki Teoretycznej i Stosowanej
Powiązania:: https://bibliotekanauki.pl/articles/280453.pdf Link otwiera się w nowym oknie
Opis:: In this paper, selection and analysis of an atmospheric two stage separation system is di- scussed. The main purpose of this system is to test a supersonic parachute projectile, where a stage separation occurs after the burn out. Subsequently, the parachute is ejected from the payload after a minimum elapsed time. The separation times, for the supersonic parachute ejection, as well as the time needed for a safe clearing distance between the two stages are two critical issues in the separation process. In this respect, the knowledge of the relative position between the two stages is necessary to assure a safe distance and in order to ad- just the required system parameters. In addition, as the nature of the parameters involved in the separation process is not deterministic, it would be useful to utilize the concept of random variables in the dynamic modeling of the separation process. In this paper, the mo- deling and simulation of the separation process is initially performed and partially verified. Subsequently, an approximate statistical method is utilized to acquire some probabilistic in- formation about the relative distances at the two critical times. According to the simulation results, the relative distance between the two stages falls in a safe region. Finally, Monte Carlo simulation is also performed for comparison and verification of the statistical results that indicated a small and acceptable deviation between the two approaches. Thus, it can be concluded that the simpler approximate statistical approach is also valid for uncertainty analysis and can provide valuable knowledge needed in the preliminary design phase of the separation system.
Dostawca treści:: Biblioteka Nauki

Artykuł

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Skocz do pozycji: 4.

Tytuł:: Modelling $Z \rightarrow \tau \tau$ processes in ATLAS with $\tau$-embedded $Z \rightarrow \mu \mu$ data
Autorzy:: Pałka, Marek
Richter-Wąs, Elżbieta
Współwytwórcy:: Współautorami artykułu są członkowie ATLAS Collaboration w liczbie powyżej 2 tyś.
Opis:: This paper describes the concept, technical realisation and validation of a largely data-driven method to model events with $Z \to \tau\tau$ decays. In $Z \to \mu\mu$ events selected from proton-proton collision data recorded at $\sqrt{s}$ = 8 TeV with the ATLAS experiment at the LHC in 2012, the Z decay muons are replaced by $\tau$ leptons from simulated $Z \to \tau\tau$ decays at the level of reconstructed tracks and calorimeter cells. The $\tau$ lepton kinematics are derived from the kinematics of the original muons. Thus, only the well-understood decays of the Z boson and $\tau$ leptons as well as the detector response to the $\tau$ decay products are obtained from simulation. All other aspects of the event, such as the Z boson and jet kinematics as well as effects from multiple interactions, are given by the actual data. This so-called $\tau$-embedding method is particularly relevant for Higgs boson searches and analyses in $\tau\tau$ final states, where $Z \to \tau\tau$ decays constitute a large irreducible background that cannot be obtained directly from data control samples. In this paper, the relevant concepts are discussed based on the implementation used in the ATLAS Standard Model $H \to \tau\tau$ analysis of the full datataset recorded during 2011 and 2012.
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

Artykuł

na półce

Skocz do pozycji: 5.

Tytuł:: Parallelization and optimization of algorithms for the simulation package of the explosives detector
Zrównoleglenie i optymalizacja algorytmów w pakiecie symulacji wykrywacza materiałów wybuchowych
Autorzy:: Smolis, Michał
Opis:: Modern methods of detection of hazardous materials are limited,especially when mobility is considered. Explosives and drugscan be considered as such hazardous materials. Main elementalcomponents of these materials are nitrogen, oxygen, hydrogen andcarbon. Reasearch presented in this thesis, aiming at the developmentof the method of atometry, is conducted in the framework ofthe SABAT project (Stoichiometry Analysis by Activation Techniques)at the Faculty of Physics, Astronomy and Applied ComputerScience. Atometry is a method of stoichiometric analysisof a given substance by irradiating it with neutron beams andthus causing emmision of gamma quanta. Measurement of energyspectra of these quanta allows to determine chemical compositionof an examined substance.The software package for simulation of neutron emission, theirinteractions in a given environment and gamma quanta registrationis developed in order to support the research on this method.Basic algorithms and statistical methods, implemented in the SABATsimulation package, are introduced in this thesis. Unit testsand their results are also described in this work. Moreover,problems of optimisation of a few selected methods and parallelizationof the whole simulation are discussed. The thesis containsdescription of simulation's basic workflow and example of simulation'sresult. Final result of parallelization is acceleration by thefactor of 4 for the same number of parallel processes run on thequad-core processor.
Współczesne metody wykrywania materiałów niebezpiecznychsą ograniczone, szczególnie ze względu na brak mobilności. Domateriałów niebezpiecznych zalicza się między innymi materiaływybuchowe i narkotyki, których głównymi składnikami pierwiastkowymisą azot, tlen, węgiel i wodór. Na Wydziale Fizyki, Astronomiii Informatyki Stosowanej, w ramach projektu SABAT (ang.Stoichiometry Analysis by Activation Techniques), prowadzone sąbadania nad atomometrią - metodą pozwalającą zdalnie wykrywać substancje niebezpieczne. Atomometria polega na analiziestechiometrycznej badanej substancji w oparciu o widma energiikwantów gamma emitowanych w wyniku napromieniowania badanegoobiektu strumieniem neutronów.Aby wspomóc badania nad tą metodą, rozwijany jest pakietoprogramowania do symulacji emisji neutronów, ich oddziaływaniaw zadanym materiale oraz rejestrowania kwantów gamma.W tej pracy przedstawione zostały podstawowe algorytmy orazmetody statystyczne, które zostały zaimplementowane we wspomnianympakiecie symulacyjnym SABAT. Praca zawiera opis orazwyniki testów jednostkowych wykonanych na opisanych metodach.Omówione zostały także problem optymalizacji wybranych metodoraz zrównoleglenia całego programu symulacji. W pracyzawarte są także opis działania symulacji oraz jej przykładowywynik. Zrównoleglenie działania procedur spowodowało 4-krotnezwiększenie szybkości działania pakietu symulacyjnego SABATdla takiej samej liczby procesów uruchomionych na czterordzeniowymprocesorze.
Dostawca treści:: Repozytorium Uniwersytetu Jagiellońskiego

Inne

na półce

Skocz do pozycji: 6.

Tytuł:: Improving accuracy of reliability parameters estimation for a commodity flow network by means of stratified sampling
Raport Badawczy = Research Report ; RB/9/2010
Autorzy:: Malinowski, Jacek
Wydawca:: Instytut Badań Systemowych. Polska Akademia Nauk
Systems Research Institute. Polish Academy of Sciences
Powiązania:: Raport Badawczy = Research Report
Opis:: Bibliografia s. [24-25]
Bibliography p. [24-25]
This paper focuses on improving the accuracy with which the considered reliability parameters are estimated. In order to achieve that aim the appropriately modified "stratified sampling" method (one of the so-called variance reduction techniques) is used.
[25] stron ; 21 cm
[25] pages ; 21 cm
Dostawca treści:: RCIN - Repozytorium Cyfrowe Instytutów Naukowych

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