A default system with overspilling contagion

In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment evolves autonomously and is not influenced by the history of the default events. We extend the classical literature and allow a default system to have a contagious impact on its environment. In our framework, contagion can either be contained within the default system (i.e., direct contagion from a counterparty to another) or spill from the default system over its environment (indirect contagion). This type of model is of interest whenever one wants to capture within a model possible impacts of the defaults of a class of debtors on the more global economy and vice versa

From the decompositions of a stopping time to risk premium decompositions

We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in some standard market filtrations, default times are totally inaccessible stopping times; we therefore proceed to a systematic construction of default times with particular emphasis on totally inaccessible stopping times. Surprisingly, this abstract mathematical construction, reveals a very specific and useful way in which default models can be built, using both market factors and idiosyncratic factors. We then provide all the relevant characteristics of a default time (i.e. the Az\'ema supermartingale and its Doob-Meyer decomposition) given the information about these factors. We also provide explicit formulas for the prices of defaultable claims and analyze the risk premiums that form in the market in anticipation of losses which occur at the default event. The usual reduced-form framework is extended in order to include possible economic shocks, in particular jumps of the recovery process at the default time. This formulas are not classic and we point out that the knowledge of the default compensator or the intensity process is not anymore a sufficient quantity for finding explicit prices, but we need indeed the Az\'ema supermartingale and its Doob-Meyer decomposition

FEATURES CONCERNING COMPETITIVE PERFORMANCE MEASUREMENT

Innovation and competitiveness are the main vectors of social-economic progress of every country. Starting from this general context and considering the particular context wherein Romania is, which strongly impose the growth of economic competitiveness for realize the convergence to EU countries, in this item we propose to put in evidence the kinds of competitive performance measurement. For this, we’ll study from economic development point, competitiveness index contained in Global Competitiveness Report of World Economy Forum (WEF). We’ll also comparatively show features linked to the index elaborated by the Institute of Management Development (IMD) in Global Competitiveness Report.competitiveness, innovation, creativity, competitiveness indices

Possibilities of Simulation of a Technical Line which is subject to the Balancing Process

Technical line balancing is a mean of economic efficiency increasing of some industrial activities. Essentially, to balance a technical line means to organize human operator's activity, to establish manufacturing flux, to project the line so to minimize equipments and operators' pause time, having a use of these as good as possible. In this work we'll describe an algorithm of simulation of a technical process, relied on random generation of the main characteristics of working phases, which will be considered in solving balancing problem of a technical line whereon an only model of a product is assembled, operating times are established and line operating rhythm is fixed.technical phase, workstation, operating time, technical line balancing, simulation.

MATHEMATIC MODELING AND ITS ROLE IN OPERATIONAL RESEARCH

Relation between mathematics and economic activity has a dual character: mathematics feed from economic and social environment through different kinds while economic sciences, including leading science, are mathematized in a fast rhythm. Under the conditions of the dynamic of contemporary economic life, is impossible to have the decisions adopted only by the means of intuition and usual judgment. For this, an important aid is given by mathematic-statistic methods, that is, operational research. Grace of operational research, the usual reasoning, which is always more or less empiric and intuitive, is filled with mathematic reasoning, rigorous, exact. For have an overview over the object of operational research applied in economy, we consider to shortly study in this work, how appeared and developed management and leading branches and also the links between these branches. We also try to put in evidence the role of mathematical modeling in operational research.modeling, operational research, cybernetic, informatics, system analysis

Surplus sharing with coherent utility functions

We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the resulting capital allocation gives a way to divide the surplus between the insured and the capital providers, i.e. the shareholders

Valuation of default sensitive claims under imperfect information.

We propose an evaluation method for financial assets subject to default risk, when investors face imperfect information about the state variable triggering the default. The model we propose generalizes the one by Duffie and Lando (2001) in the following way:(i)it incorporates informational noise in continuous time, (ii) it respects the (H) hypothesis, (iii) it precludes arbitrage from insiders. The model is sufficiently general to encompass a large class of structural models. In this setting we show that the default time is totally inaccessible in the market’s filtration and derive the martingale hazard process. Finally, we provide pricing formulas for default-sensitive claims and illustrate with particular examples the shapes of the credit spreads and the conditional default probabilities. An important feature of the conditional default probabilities is they are non Markovian. This might shed some light on observed phenomena such as the ”rating momentum”.hybrid models; default sensitive claims;