Book

Novosyolov A.A. Mathematical modeling of financial risks: measuring theory. Novosibirsk: Nauka, 2001. (in Russian) Abstract and table of contents.

Papers

1. Novosyolov A.A. The sum of dependent normal variables may be not normal. Working paper, 2006, 13p. Abstract.
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2. Novosyolov A.A. Representing complete and partial preferences over sets of risks by real functionals. Proceedings of the V All-Russian FAM conference, v. 1, Krasnoyarsk, 2006. (translated from Russian)
   Abstract.
   Unavailable for downloading.
3. Novosyolov A.A. Certainty equivalent in models of decision-making under risk. Proceedings of the V All-Russian FAM conference, v. 1, Krasnoyarsk, 2006. (translated from Russian)
   Abstract.
   Unavailable for downloading.
4. Novosyolov A.A. On a sense of higher order stochastic dominance. Proceedings of the V All-Russian FAM conference, v. 1, Krasnoyarsk, 2006. (translated from Russian)
   Abstract.
   Unavailable for downloading.
5. Novosyolov A.A. Representation of preferences on a set of risks by functional families. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2006, p. 92-97. Abstract.
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   Presentation: .
6. Novosyolov A.A. Copula function as a dependence structure. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2006, p. 98-99. Abstract.
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   Transparences: .

1. Novosyolov A.A. Insurance premium as a base for insurance company solvency. "Financial management in an insurance company", 2005, 2, p. 87-97. (in Russian) Abstract.
   Unavailable for downloading.
2. Novosyolov A.A. Model risk in estimating VaR and other quantile risk measures. "Financial risk management", 2005, 4, p. 53-57.(in Russian) Abstract.
   The paper may be ordered at the publishing house.
3. A.Novosyolov Risk management of an insurance company portfolio. "Financial risk management", 2005, 2, p. 63-68. (in Russian) Abstract.
   The paper may be ordered at the publishing house.
4. A.Novosyolov Generalized coherent risk measures in decision-making under risk. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2005, p. 145-150. Abstract.
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5. A.Novosyolov Generalized coherent risk measures. Proceedings of the IV All-Russian FAM conference, v. 1, Krasnoyarsk, 2005. (translated from Russian)
   Abstract.
   Unavailable for downloading.

1. Novosyolov A.A. Canonical representation of complete and partial preferences. Proceedings of the III All-Russian FAM conference, v. 1, Krasnoyarsk, 2004. (translated from Russian)
   Abstract.
   Unavailable for downloading.
2. Novosyolov A.A. Canonical representation of preferences over a set of probability distributions. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, June 2004, 248-252.
   Abstract.
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1. Novosyolov A.A. Inverse problems of risk theory and characteristic classes of distributions. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, August 2003, 445-450.
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2. Novosyolov A.A. Risk aversion in the small with applications to portfolio analysis. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, August 2003, 261-265.
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3. Novosyolov A.A. Risk aversion in nonlinear decision-making models. Proceedings of the II All-Russian FAM conference, v. 1, Krasnoyarsk, 2003. (translated from Russian)
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4. Novosyolov A.A. Characteristic Classes of Families of Risk Measures. Proceedings of the II All-Russian FAM conference, v. 1, Krasnoyarsk, 2003. (translated from Russian)
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5. Holton G.A., Novosyolov A.A. A numeric method for computing the distribution of a quadratic polynomial of a normal random vector. Proceedings of the II All-Russian FAM conference, v. 1, Krasnoyarsk, 2003. (translated from Russian)
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6. Novosyolov A.A. Combined functionals as risk measures. Proceedings of the Bowles Symposium, Atlanta, April 10-11, 2003
   Abstract.
   . Download presentation. Download illustration.
   
7. Novosyolov A.A. Using indifference curves for decision-making under risk. In: Contemporary economics; problems and solutions. Krasnoyarsk, KrasGU, 2003. (translated from Russian)
   Abstract.
   To appear soon.
8. Kondratenko Yu.V., Novosyolov A.A. Mathematical models of ecological catastrophes: environment contamination. Vestnik of the Krasnoyarsk state university, 1 (2003), p. 97-101 (in Russian).
   Abstract.
   Unavailable for downloading.

1. Novosyolov A.A. Portfolio analysis. Proceedings of the I All-Russian FAM conference, v. 1, Krasnoyarsk, 2002, p. 217-230. (translated from Russian)
   Abstract.
   Unavailable for downloading.
2. Novosyolov A.A. Pseudometrics induced by set functions on boolean algebras. Proceedings of the I All-Russian FAM conference, v. 1, Krasnoyarsk, 2002, p. 231-243. (translated from Russian)
   Abstract.
   Unavailable for downloading.
3. Novosyolov A.A. Measuring Risk. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2002, p. 65-69.
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4. Novosyolov A.A. Diversification in a Portfolio. Proceedings of the International Scientific School "Modelling and Analysis of Safety and Risk in Complex Systems", St.-Petersburg, 2002, p. 178-181.
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5. Novosyolov A.A. On risk aversion and substitution rate between risk and return. Proceedings of a conference "Mathematical models of nature and society", Krasnoyarsk, 2002, p. 148-153. (translated from Russian)
   Abstract.
   Unavailable for downloading.
6. Novosyolov A.A. Nonlinear portfolio analysis and resources allocation. In: Contemporary economics; problems and solutions. Krasnoyarsk, KrasGU, 2002, p. 262-270. (translated from Russian)
   Abstract.
   . Download demo program.
7. Novosyolov A.A. Stochastic dominance and its application in modeling risk. Notices of the FAM Seminar, v. 7, Krasnoyarsk, 2002, p. 37-44. (translated from Russian)
   Abstract.
   Unavailable for downloading.
8. Novosyolov A.A. On fantom distribution paradox. Notices of the FAM Seminar, v. 7, Krasnoyarsk, 2002, p. 45-53. (translated from Russian)
   Abstract.
   Unavailable for downloading.

1. Vorobyov O.Yu., Novosyolov A.A., Simonov K.V., Fomin A.Yu. Portfolio Analysis of Financial Market Risks by Random Set Tools. Proceedings of the Symposium "Risks in Investment Accumulation Products of Financial Institutions", Schaumburg, IL, 2001, p. 43-66.
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2. Novosyolov A.A. On monotonicity and convexity of some risk measures. Proceedings of the V-th FAM conference, Krasnoyarsk, 2001, p. 66-81. (translated from Russian)
   Abstract.
   Unavailable for downloading.
3. Novosyolov A.A. Concept of risk and methods of its measuring. Proceedings of the International Scientific School "Modelling and Analysis of Safety, Risk and Quality in Complex Systems", St.-Petersburg, 2001, p. 77-80. (translated from Russian)
   Abstract.
   Unavailable for downloading.
4. Novosyolov A.A. Monotonicity and convexity of some risk measures. Proceedings of the International Scientific School "Modelling and Analysis of Safety, Risk and Quality in Complex Systems", St.-Petersburg, 2001, p. 169-172. (translated from Russian)
   Abstract.
   Unavailable for downloading.
5. Novosyolov A.A. On risk attribution. Proceedings of the IV-th All-Russian seminar "Modeling of inequilibtium systems", Krasnoyarsk, 2001, p. 179-180. (translated from Russian)
   Abstract.
   Unavailable for downloading.