EUROPEAN
COMMISSION

Directorate -- General
Education and Culture

TEMPUS PROJECT IB-JEP-25054-2004
Training Centre for Actuaries and Financial Analysts

 

PROGRAM

INTERNATIONAL SUMMER SCHOOL

“INSURANCE AND FINANCE: SCIENCE, PRACTICE AND EDUCATION”

22 June – 28 June 2008

Foros ( Crimea , Ukraine )

 


22. 0 6. Sunday

Chairman – Professor Volodymyr Koroliuk

(12.00 – 12.10) Opening of the School : Dmitrii Silvestrov ( M ä lardalen University , V ä ster å s , Sweden )

Lecture 1. (12.15 – 12.55). Yurij Kozachenko, O. V. Polosmak ( Kyiv National Taras Shevchenko University , Kyiv , Ukraine ). On Convergence of Wavelet Expansions of Random Processes. (40 min).

Lecture 2. (13.00 – 13.40). Mikhail Moklyachuk ( Kyiv National Taras Shevchenko University ). Minimax Estimation Problems for Cyclostationary Discrete Time Stationary Stochastic Processes. (40 min).

 

Chairman – Professor Yurij Kozachenko

Lecture 3. (15.00 – 15.30). Maryna Androshchuk ( Kyiv National Taras Shevchenko University , Ukraine ) . Optimal Investment for Insurer in Model with Variable Premium Income. (30 min).

Lecture 4. (15.35 – 16.05). Rostyslav Yamnenko ( Kyiv National Taras Shevchenko University ). Some Applications of F-Sub-Gaussian Random Processes. (30 min).

Lecture 5 . (16.10 – 16.40). Tetyana Yakovenko ( Kyiv National Taras Shevchenko University ). On Belonging of a Stochastic Process Trajectories to a Sobolev-Orlicz Space. (30 min)

 

23 .06. Monday

Chairman – Professor Yuliya Mishura

Lecture 1 . (12.00 – 12.40). Goedele Dierckx ( Economische Hogeschool Sint Aloysius, Brussels ), Jef L.Teugels ( Katholieke Universiteit Leuven ). Change Point Analysis of Extreme Values. (40 min).

Lecture 2. (12.45 – 13.25). Volodymyr Koroliuk ( Institute of Mathematics , Kiev , Ukraine ). Storage Processes in Poisson Approximation Scheme. (40 min)

 

Chairman Professor Mikhail Moklyachuk

Lecture 3. (15.00 – 15.30). Dimitrios Konstantinides (University of the Aegean, Greece ) . A Subclass of Subexponential Distributions. (30 min)

Lecture 4 . (15.35 – 16.05). Yuliya Mishura ( Kyiv National Taras Shevchenko University ), Mykhajlo Bratyk ( National University of " Kyiv-Mohyla Academy " , Kyiv , Ukraine ). Quantile Hedging with Rediscounting on the Complete Financial Market. (30 min).

Lecture 5. (16.10 – 16.40). Yuliya Mishura, Georgiy Shevchenko ( Kyiv National Taras Shevchenko University ). Optimal Time to Exchange Financial Assets on a Finite Interval. (30 min)

 

24.06 . Tuesday

Chairman – Professor Dmitrii Silvestrov

Lecture 1. (12.00 – 12.30). Peter Gustafsson ( Mälardalen University , Västerås , Sweden ). Trends in, and Reasons for, Reorganization of Universities – A Swedish Case. (40 min)

Lecture 2. (12. 35 – 13. 25 ). Alexander Kukush ( Kyiv National Taras Shevchenko University), Robin Lundgren , Dmitrii Silvestrov ( Mälardalen University, Västerås, Sweden). Reselling of European Options. (40 min)

 

Chairman – Professor Jef Teugels

Lecture 3 . (15.00 – 15.40). Dmitrii Silvestrov ( Mälardalen University , Västerås , Sweden ). Optimal Pricing of American Type Options for Modulated Price Processes. ( 4 0 min)

Lecture 4. (15.45 – 16. 2 5). Nadiia Zinchenko ( Kyiv National Taras Shevchenko University ). Fluctuations of the Total Claim Amount Process. ( 4 0 min)

 

25 .0 6 . Wednesday. Free time.

26 .0 6 . Thursday

Chairman – Doctor of Science Nadiia Zinchenko

Lecture 1. (12.00 – 12.30). Oleksandr Ponomarenko ( Kiyv Taras Shevchenko National University ). Problems of Development of Insurance and Financial Markets in Ukraine . (30 min).

Lecture 2. (12.35 – 13.05). Oleksandr Borysenko ( Kyiv Taras Shevchenko National University ). Content of Training Course CA1 “Core Applications Concepts” (30 min)

Lecture 3 . (13.10 – 13.30). Orest Kinash, I.S. Kinash ( Lviv National Ivan Franko University ). “Statistics” as New Direction of Mathematical Education in Ukraine. ( 2 0 min).

 

Short communications

Chairman – Associate Professor O leksandr Borysenko

15.00 – 15.15. Vasilij Chernecky ( Odessa State Academy of Refrigeration). Solvency of an Insurance Company in Discrete Model . (15 min).

15.20 – 15.35. Oleksandr Ponomarenko ( Kiyv Taras Shevchenko National University ), Yuriy Perun (National Bank of Ukraine ). Multivariate Second Order Random Fields over Some Homogeneous Spaces. (15 min).

15.40 15.55. Oleksandr Moklyachuk ( Kiyv Taras Shevchenko National University ). Modelling of Random Process with Known Correlation Function with the Help of Karhunen-Loeve Decomposition. (15 min).

16.00 – 16.15. Orest Kinash, S.V. Homych ( Lviv National Ivan Franko University ). Gravity Models of Optimization of Financial Model of Bank Activity. (15 min).

16.20 – 16.35. Ghairat Rakhimov, G.M. Muminov ( Institute of Mathematics and Information Technology , Uzbekistan ). Estimation of Tail Probability of Dual Maximum of Gaussian Process. (15 min).

16.40 – 16.55. Andrii Andrusiv, Iryna Zhukovska ( Kyiv National Taras Shevchenko University ). The Model of Life Insurance Company Based on Stochastic Macro-Economical Indexes. (15 min).

17.00 – 17.15. Oleksandra Kamenschykova ( Kyiv National Taras Shevchenko University ). Approximation of Random Processes by Splines

 

27 .0 6 . Friday

Chairman – Associate Professor O leksandr Ponomarenko

Round table “Problem of actuarial profession and actuarial education in Ukraine ” (12.00 – 13.30)

Yurij Ivanko ( Society of Actuaries of Ukraine ). National system of professional actuarial education. Directions of development.

Vera Butova ( Statefinservice , Ukraine ). Actuaries and their responsibility in new version of Law of Ukraine “On Insurance”