Reprezentacje preferencji i modelowanie ryzyka

• Autorzy: Wojciech Rybicki

Warianty tytułu

Representations of Preferences and Modelling of the Risk.

• Języki publikacji: PL

Abstrakty

W pracy omówiono wybrane modele matematyczne, funkcjonujące we współczesnej ekonomii: zarówno z obszaru właściwej ekonomii matematycznej jak i jej wariantu stochastycznego oraz teorie: ubezpieczenia, finansów, prognozy. Przedstawiono niektóre fakty historyczne i ustalenia aktualne, związane z wyceną oraz porównaniami dóbr i przedsięwzięć ekonomicznych: w świecie deterministycznym i stochastycznym, w wersji statycznej i dynamicznej. Zaprezentowano zagadnienia modelowania i porównywania ryzyka oraz modele postaw wobec ryzyka. Omówiono matematyczne modele dynamiki zjawisk losowych oraz procesy stochastyczne w matematyce ubezpieczeniowej i finansowej.

EN

The subject matter of this monograph is systematic treatment of the wide plethora of notions and problems concerning preferences and risk in economic-mathematical models. It is a commonly known truth that economics is about scarsity. This term has been used here in the most general sense and is intended to cover various special cases: limitations of means of production, time, human recources, budget constraints and so on. These circumstances imply - as an obvious and immediate consequence - the necessity of making permanent choices by economic agents. These in turn involve demand for preparing tools to evaluate and/or compare subjective desirability and attractiveness of various alternative situations and decisions in individuals' minds - formal means for expressing their tastes. The above mentioned remarks may serve as the shortest arguments for validity of questions concerning synthetic, manageable representations of preferences. On the other hand it should be pointed out the role of risk and uncertainty: both of them have decisive influence on economic behaviour. Almost every phase of consumption and production is affected by these factors. So the problems of quantifying of risky situations appearing in economic sphere are of a great importance. Equally valid are questions of typology of individuals' perception of risk: consumers, producers and investors' decisions depend - to a large extent - on their attitude towards risk. Last but not least: the knowledge of other subjective preferences as well as objective characteristics of random enviroment enables decision makers to predict future course of certain processes and elements of behaviour of participant of markets. Such informed agents can adapt their plans and policy to expectations - according to paradigm of economic rationality. Three principal themes dominate the presented book: unified description of problems of representations of preferences occurring in deterministic and random environment; connecting formally different topics belonging to seemingly distant scientific subdisciplines (this may lead to some little but surprising conclusions); the third purpose was to present some author's own propositions - formal constructions of stochastic models. (short original abstract)

Słowa kluczowe

PL

Teoria ryzyka; Szacowanie ryzyka; Teoria oczekiwanej użyteczności; Teoria preferencji; Modele stochastyczne; Matematyka ubezpieczeniowa; Matematyka finansowa; Przegląd literatury

EN

Theory of risk; Risk estimating; Expected utility theory; Preference theory; Stochastic models; Insurance mathematics; Financial mathematics; Literature review

• Czasopismo: Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Seria : Monografie i Opracowania (nr 100)
• Rocznik: 2005
• Numer: nr 1072
• Strony: 267

Twórcy

autor

Wojciech Rybicki

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