Location

 International Program Committee

 Participation

 Sponsors

 Areas of interest

 National Organizing Committee

 Publication

 Registration Fee

 MASR - 2005 Program

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RUS

 

FIFTH INTERNATIONAL SCIENTIFIC SCHOOL
in SAINT-PETERSBURG, RUSSIA, JUNE 28 - JULY 1, 2005


"MODELLING and ANALYSIS of SAFETY and RISK
in COMPLEX SYSTEMS" (MA SR 2005)


LOCATION of the SCHOOL

The year 2005 International Scientific School "Modeling and Analysis of Safety and Risk in Complex Systems" (MA SR - 2005) will be held in Saint-Petersburg, Russia, from June 28 to July 1. It will be organized by the Institute of Problems of Mechanical Engineering of the Russian Academy of Sciences (RAS), the Saint-Petersburg Institute of Informatics and Automation of RAS, Military Engineering Technical University, North-West Academy of Civil Administration with the support of the Russian Foundation for Basic Research. Its sessions will be held in the Institute of Problem of Mechanical Engineering of RAS.

All participants will have the possibility to see the wonderful city - Saint-Petersburg - during its white nights.

The official languages of the School are English and Russian.


AREAS of INTEREST

The main research areas to be discussed at the School in the year 2005 are:

1. The consideration of methods and models for quantitative measurement of risk in economic, financial and social systems;
2. Logic-and-probabilistic (LP) risk models in problems of classification, investment and effectiveness;
3. The consideration of methods and models for quantitative measurement and analysis of risk in complex technical systems     (gas and petroleum production and transportation, space, aviation, navy, nuclear power, etc.);
4. The development of relations between various areas of application of risk theory.

These following more specific topics will be discussed at the School:

a) Risk models in Economics and Finances

 Market Risk;
 Operational and Liquidity Risk;
 Credit Risk;
 Risk of security portfolio;
 Risk in problems of social efficiency;
 LP-models of failure risk with groups of incompatible events.

b) Risk models in Engineering and Ecology

 Scenarios and models of safety and failure risk;
 LP risk models for systems with multi-state elements;
 Identification and optimization in risk problems;
 Risk analysis and risk management;
 Software for risk model building and risk analysis.

Leading Western and Russian scientists will give lectures in the field of financial, social, informational and technical risks. The scientific program includes plenary and section reports, software demonstrations.

 

INTERNATIONAL PROGRAM COMMITTEE

Chairman:
K.V. Frolov, Academician (Russia, IME RAS)

Co-chairmen:
Aman Agarwal , Professor (India, GGS University),
K. Giannopoulos, Professor (UAE, UAE University),
B.P. Ivchenko, Professor ( Russia, NWACA) - co-chairman
V.M. Matrosov, Academician (Russia, IME RAS) - co-chairman
N. Machutov, corresponding member RAS (Russia, IME RAS) - co-chairman
I.A. Ryabinin, Professor (Russia, Naval Academy) - co-chairman.


 Members of Program Committee:

N.F. Morosov (Russia, SPSU)

A.A. Novoselov (Russia, ICM SB RAS)

G. Barone-Adesi (Italy, Universita della Svizzera Italiana)

M.S. Nikulin (France, University Bordeaux)

V.V. Vitlinsky (Ukraine, KNEU)

M. Rogov (Russia, Moscow, The University of Dubna)

B.G. Volik (Russia, IPC RAS)

A.S. Mozhaev (Russia, Sevzapmontazhautomatika)

D.A.Indeitsev (Russia, IPME RAS)

I.V. Safonov (USA)

I. Peaucelle (France, CNRS/CEPREMAP)

S. Lloyd (USA, University or Rhode Island )

M.S. Finkelstein (S. Africa, University of Free State)

E.D. Solojentsev (Russia, IPME RAS)

Yu.A.Esipov (Russia, Rostov-na-Donu University)

B.V. Sokolov (Russia, SPII RAS)

A.P. Martins (Portugal, Universidade Catolica Portuguesa)

N.V. Hovanov, (Russia, SSU)

H. Kumamoto (Japan, Kyoto University)

A.I. Kibzun (Russia, MAI)

S. Uryasev (USA, University of Florida)

D.Yu. Golembiovsky (Russia, Bank "ZENIT")

G.K. Moskatov (Russia, FCSRI CENTRE)

V. O'Connell (Ireland, University College Cork)

S.G.Tsiramua (Georgia, University)

R.M. Yusupov (Russia, SPII RAS)

 

NATIONAL ORGANIZING COMMITTEE

E.D. Solojentsev (Russia, IPME RAS) - chairman,
V.V. Karassev (Russia, IPME RAS) - secretary,
V.A. Melnikov (Russia, DETU).

 

PARTICIPATION

Authors who wish to participate in the School should send a paper to risk@sapr.ipme.ru, before March 15, 2005 as Microsoft Word file (not more 6 pages, type 11pt). Prior publication all papers will be peer refereed. We will send the invitation to authors of accepted papers till April 10, 2005 by E_mail.

 

PUBLICATIONS

The accepted papers were published in book "Modelling and Analysis of Safety and Risk in Complex Systems: Proceedings of the Fifth International Scientific School MA SR - 2005 (Saint-Petersburg, Russia, June 28 - July 1, 2005) / SUAI.SPb., 2005, 422 p.".

 

SPONSORS


RFBR

Russian Fund for Basic Research


 

LIVING


Living is provided by company Monomax Ltd. The following hotels are suggested for MASR-2005 participants: "Pribaltiyskaya", "Moscow", "Octyabrskaya", "Rus", etc.
Contacts:
Phone: +7(812)4447166; Fax:+7(812)3247322;
E_mail: ata@monomax.org;
WebSite: www.monomax.org.

Also, Orgcommittee is very glad to offer a hotel in the center of Saint-Petersburg for MASR-2005 participants by special rates: single room - 190 USD, double room - 209 USD (+18% taxes).
You can find additional information on hotel's web page.

For booking a rooms, please, contact to Prof. Kostas Giannopoulos by E_mail: KGiannopoulos@uaeu.ac.ae .

 

REGISTRATION FEE

The registration fee is 300 USD and 100 USD for post-graduates.

Payment should be made to MASR 2005 in US dollars or Euro (at current rate of exchange) by direct bank or wire transfer to:
INDUSTRY & CONSTRUCTION BANK
38, Nevsky Prospect, St.Petersburg, 191011, RUSSIA
SWIFT code: ICSPRU 2P
Beneficiary name; INN 7801037069 Institute of Mechanical Engineering Problems
Transit currency account USD # 405 028 401 110 050 000 06
                                      EUR # 405 039 787 110 050 000 18

 

PROGRAM


___________________________________________________________________
Tuesday, June 28
__________________________________________________________________

Plenary session 1, Conference Hall, IPME RAS
Chairman I.A. Ryabinin

1000- 1030

- Opening of the International Scientific School MA SR - 2004.
Ryabinin I.A. (Russia, Saint-Petersburg, Naval Academy named N.G. Kuznetsov). The Phenomenon of the Logical and Probabilistic Theory.

1030 - 1100

- Rocchi P. (Italy, Roma, IBM Research and Development via Shanghai 53). The Stochastic Entropy and the Physical Behavior of the Systems.

1100 - 1130

- Martins A.P. (Portugal, Lisboa, Universidade Catolica Portuguesa). Rates Of Creation And Destruction, Depreciation, And Equipment Lifetime - Sectoral Inference For Portugal.

1130 - 1200

- Baranov V.V., Gogayzel A.V., Makhutov N.A. (Russia, Moscow, Stability and Nonlinear Dynamics Research Center of RAS). Decision-making Model and Methods in Industrial Systems for Providing the Security with According to Criteria of Expected Utility and Risk.

1200 - 1220

- Coffee

1220 - 1250

- Vitlinsky V.V., Verchenko P.I. (Ukraine, Kiev, Kiev National Economic University). The Estimation of Risk in Dynamics.

1250 - 1320

- Peaucelle I. (France, Paris, CEPREMAP). Correlation of Defaults and Economic Growth.

1320 - 1350

- Baccarin S. (Italy, Turin, University of Turin). Optimal Impulse Control of a Diffusion Process in RN.

 

Section "Capital Markets Risk ", Conference Hall, IPME RAS
Chairman A.I. Kibzun

1500-1520

- Verchenko P.I., Paschenko Ju. (Ukraine, Kiev, Kiev National Economic University). The Modelling of the Interaction Processes And Risk in the Integrated Financial and Industrial Structures on Petri Networks.

1520 - 1540

- Uritskaya O. Yu. (Russia, Saint-Petersburg, St. Petersburg State Polytechnic University). Fractal Methods for Modeling and Forecasting of Currency Crises.

1540 - 1600

- Grigoriev Ju.D., Le Dinh Son (Russia, Saint-Petersburg, State Electrotechnical University). Numerical Optimisation of Value-at-risk Functional for Stop Loss Reinsurance in the Cramer-Lundberg Risk Model.

1600 - 1620

- Klebanova T.S., Raevneva E.V., Guriyanova L.S. (Ukraine, Kharkov, Kharkov National Economic University). Financial Monitoring System as Tool for Decreasing of Risk of Business of Company.

1620 - 1640

- Martynova T.A. (Russia, Krasnoyarsk, Institute of Computing Modeling, Siberian Department of Russian Academy of Science). Modified Coherent Risk Measures (for the Euclidean Norm).

1640 - 1700

- Break

1700 - 1720

- Soloviev V., Nechaev V., Nagibas A. (Ukraine, Kryviy Rig, Kyiv National Economic University, Kryviy Rih Economic Institute). Business Architectures Multifractality and Risk Management in the Networked Enterprise.

1720 - 1740

- Pesikov E.B. (Russia, Saint-Petersburg, North - Western Institute of Print of St. Petersburg State University of the Technology and Design). Modeling and Estimation of Marketing Strategies Risk with Monte - Carlo Method.

 

Section "Risk in Engineering and Ecology", Conference Hall, SPII RAS
Chairman B.G. Volik

1500-1530

- Grazhdankin A.I., Lisanov M.V., Pchelnikov A.V. (Russia, Moscow, SUE "STC Industrial Safety"). Risk Prognostication and Estimation Acceptability of Accident Risk on Hazardous Production Facilities.

1530 - 1600

- Esipov Yu.V., Melnik D.Ya., Cheremisin A.I. (Russia, Rostov-on-Don, Rostov-on-Don Service Institute). Development of Automated System of Estimation, Monitoring and Risk Management and Quality Management for Man-Caused and Ecological Systems.

1600 - 1630

- Yesipov Yu.V. (Russia, Rostov-on-Don, Rostov-on-Don Service Institute), Samsonov F.A. (Russia, Rostov-on-Don, Rostov Higher Military School), Cheremisin A.I. (Russia, Rostov-on-Don, Rostov-on-Don Service Institute). The methodic and program means "VOZMER - 2.2" for calculation of the different and integral risk.

1630 - 1700

- Sadov S.L. (Russia, Syktyvkar, Institute of the Social, Economic and Power Problems of the North KSC UD RAS). Uncertainty and Risk Under Development of the Regional Possible Hydrocarbon Resources.

 

___________________________________________________________________
Wednesday, June 29
__________________________________________________________________

Plenary session 2, Conference Hall, IPME RAS
Chairman V.V. Vitlinsky

1000 - 1030

- Cheremisin A.I., Esipov Yu.V. (Russia, Rostov-on-Don, Rostov-on-Don Service Institute). Factorial Parametric Model and Technique of Possible Estimation of Quality and Profitability of Service.

1030 - 1100

- Lukianov V.D., Melnikov V.A. (Russia, Saint-Petersburg, Defence Engineering Technical University). Investment Economics in Task N 35.

1100 - 1130

- Giannopoulos K. (UAE, Al Ain, UAE University). Market Interdependence During Large Price Movements.

1130 - 1200

- Spagnoli P. (England, London, Danckley Trade Europe Limited, S.T.R. Waste Management & Recycling Group). LME Call and Put Option on a volatile Non Ferrous and Ferrous international market.

1200 - 1220

- Coffee

1220 - 1250

- Vitlinsky V.V. (Ukraine, Kiev, Kiev National Economic University), Kaminsky A.B. (Ukraine, Kiev, Kiev National University named Taras Shevchenko). Application of Value-At-Risk Methodology Under Absence of Normal Distribution.

1250 - 1320

- Stepanova N.V. (Russia, Saint-Petersburg, Saint-Petersburg Industry and Construction Bank), Solojentsev E.D. (Russia, Saint-Petersburg, IPME RAS). Requirements For Methods Of Credit Risk Assessment.

1320 - 1350

- Vishnyakov B.V., Kibzun A.I. (Russia, Moscow, Moscow Aviation Institute). Risk Measures for a Two-steps Model of Capital Dynamics.

 

Section "Capital Markets Risk ", Conference Hall, IPME RAS
Chairman A. A. Novosyolov

1500-1520

- Vitlinsky V.V., Dolinskaya E.B. (Ukraine, Kiev, Kiev National Economic University). Estimation of Risk of Non-Payment of Leasing Operations: Probabilistic Approach.

1520 - 1540

- Mundzhishvili T. (Georgia, Tbilisi, SRI of Georgian Finances). Logical and Probabilistic Analysis of Risk in Estimation of Financial Condition of Issuer.

1540 - 1600

- Matviychuk A.V. (Ukraine, Vinnitsa, State Tax Administration of Ukraine). Multilevel fuzzy model of tax non-payment risk analysis.

1600 - 1620

- Sigal A.V. (Ukraine, Simferopol, Tavrida National University named V.I. Vernadsky). Quadratic Programming and Theory of Games.

1620 - 1640

- Hovanov N.V., Yudaeva M.S., Kotov N.V. (Russia, Saint-Petersburg, St. Petersburg State University). Alternatives Probabilities Estimation By Means Of Non-Numeric, Non-Exact And Non-Complete Information Obtained From Sources Of Different Reliability.

1640 - 1700

- Break

1700 - 1720

- Abramian A.A. (Russia, Saint-Petersburg, IPME RAS). Application of Method of Delphi's Expert Evaluations for Analysis of Risks of Investments in Real Estate.

 

Section "Risk in Engineering and Ecology", Conference Hall, SPII RAS
Chairman V.V. Baranov

1500-1530

- Goropashnaya A.V., Tyurin G.A. (Russia, Saint-Petersburg, FSUC "CSRI named academician A.N. Krylov"). About Possibilities of Simplification of Logical and Probabilistic Calculations in Tasks of Estimation of Safety of Structural Complex Systems.

1530 - 1600

- Tsiramua S.G. (Georgia, Tbilisi, Georgian Technical University). LP-modeling, Estimation, Analisys and Optimization of Risk in Systems with Several States of Elements.

1600 - 1630

- Lisanov M.V., Grazhdankin A.I. (Russia, Moscow, SUE "STC Industrial Safety"). Accident Risk Analysis and the Technical Regulations.

1630 - 1700

- Verzilin D.N. (Russia, Saint-Petersburg, SPII RAS), Uyba V.V. (Russia, Saint-Petersburg, Army Medical College named S.M. Kirov), Chereshnev V.V. (Russia, Saint-Petersburg, Saint-Petersburg States University for Economics and Finances). Risk Management in Industrial and Social Systems on Basis of Statistical Data.

1700 - 1730

- Esipov Yu.V. (Russia, Rostov-on-Don, Rostov-on-Don Service Institute), Mukhortov V.M., Tolmachev G.N. Esipov Yu.V. (Russia, Rostov-on-Don, South Scientific Center of RAS). Development of Informational Technology of Diagnosing and Estimation of Risk of Crucial Systems on Basis of Ferroelectric Strain Gages and Acoustical Emission.

 

___________________________________________________________________
Thursday, June 30
__________________________________________________________________

Plenary session 3, Conference Hall, IPME RAS
Chairman N.V. Hovanov

1000 - 1030

- Viktorova V.S., Stepanyants A.S. (Russia, Moscow, Institute of Problems of Control named V.A.Trapeznikov RAS). Logical and Probabilistic Methods of Estimation of Reliability and Safety of the Systems (Review of Main Directions and Calculation Algorithms).

1030 - 1100

- Solojentsev E.D., Karassev V.V., Moshkantsev I.V. (Russia, Saint-Petersburg, IPME RAS). Generalizations of LP-theory of risk with GIE.

1100 - 1130

- Hovanov N.V., Kolari J.W., Sokolov M.V., Sutyrin S.F. (Russia, Saint-Petersburg, St. Petersburg State University). Transnational Corporations Multicurrency Assets Denomination In Units Of An Aggregated Minimal Risk Currency.

1130 - 1200

- Alexeev V.V., Shokolov V.V. (Russia, Saint-Petersburg, IPME RAS). Logical and Probabilistic Risk Management of Security Portfolio.

1200 - 1220

- Coffee

1220 - 1250

- Novosyolov A. (Russia, Krasnoyarsk, Institute of Computational Modeling SB RAS). Generalized Coherent Risk Measures in Decision-Making Under Risk.

1250 - 1320

- Volik B.G. (Russia, Moscow, Institute of Problems of Control named V.A.Trapeznikov RAS). The Terms of Availability of Technical Objects.

1320 - 1350

- Ivanov D.A. (Russia, Saint-Petersburg, Saint-Petersburg State Polytechnical University, Central Scientific Research Institute of Robotics and Technical Cybernetics), Sokolov B.V. (Russia, Saint-Petersburg, SPII RAS), Arkhipov A.V. (Russia, Saint-Petersburg, Saint-Petersburg State Polytechnical University, Central Scientific Research Institute of Robotics and Technical Cybernetics). The General Formulation of Supply Chain Synthesis Problem in Virtual Enterprises Under Special Terms of Uncertainty.

 

Section "Capital Markets Risk", Conference Hall, IPME RAS
Chairman V.V. Vitlinsky

1500-1520

- Sukhanova A.P. (Ukraine, Kiev, JSC "INDEXBANK"). The basic methods of analysis and reduction the risk of capital investments.

1520 - 1540

- Vitlinsky V.V., Kolyada Yu.V., Yun I.V. (Ukraine, Kiev, Kiev National Economic University). Conflict Situation Model and Risks of its evolution.

1540 - 1600

- Shchetinin Eu.Yu., Nazarenko K.M., Paramonov A.V. (Russia, Moscow, MSTU "Stankin").Analysis of Statistical Dependence Structures on Financial Markets During Crisis Periods.

1600 - 1620

- Ostankova L.A. (Ukraine, Kramatorsk, Kramatorsk Economic-Humanitarian Institute), Makarkina A.V. (Ukraine, Donets Basin State Machine-Building Academy). Quantitative evaluation of strategic aims under the conditions of informational shortage.

1620 - 1640

- Urazaeva T.A. (Russia, Yoshkar-Ola, Mari State Technical University). Risk and Valuation of the Investments.

1640 - 1700

- Break

1700 - 1720

- Gvazava V.I. (Russia, Kaliningrad, Saint-Petersburg Institute of Management and Economics, Kaliningrad Branch). Competence as Factor for Reducing of Risk.

1720 - 1740

- Kopchinska V.V. (Ukraine, Zhytomyr, Institute of Business and Advanced Technology). Models of risk in anticrisis management.

 

Section "Risk in Engineering and Ecology", Conference Hall, SPII RAS
Chairman V.V. Baranov

1500-1530

- Kulik B.A. (Russia, Saint-Petersburg, IPME RAS). Probabilistic Logic on Basis of Cortege Algebra.

1530 - 1600

- Kuznetsov A., Paramonov Yu. (Latvia, Riga, Riga Technical University, Aviation Institute). Planning of inspection program of fatigue-prone airframe.

1600 - 1630

- Krymsky V.G., Akhmedjanov F.M., Balaba K.V. (Russia, Ufa, Ufa State Aviation Technical University). Assessing Risk Associated with Gas Transmission Pipeline: Copula - Based Approach.

1630 - 1700

- Moskatov G.K. (Russia, Moscow, Federal Central Shipbuilding Research Institute "CENTRE"). On inherent safety of 2nd generation airships.

 

___________________________________________________________________
Friday, July 1
__________________________________________________________________

Plenary session 4, Conference Hall, IPME RAS
Chairman I.A. Ryabinin

1000 - 1030

- Golembiovskiy D.Ju.(Russia, Moscow, Bank "ZENIT"). Lattice option price models.

1030 - 1100

- Vitlinsky V.V. (Ukraine, Kiev, Kiev National Economic University), Makhanets L.L. (Ukraine, Chernovtsi, Chernovtsi National University named Yu. Fedkovich). Account of Risk in Making of Portfolio of Real Investment.

1100 - 1130

- Safonov I., Safonov V. (USA, Arlington, International Unity Science Institute). Workflow Modeling For Security Optimization.

1130 - 1200

- Hans-Joachim Lenz (Germany, Berlin, Dept. of Statistics and Econometrics & Dept. of Information Systems Freie Universitae). Risk Analysis of Start-ups based on Statistical and Machine-Learning Classifiers.

1200 - 1220

- Coffee

1220 - 1250

- Lyroudi K. (Greece, Thessaloniki, University of Macedonia). The Relationship Of Operating And Financial Leverage With Market Risk in Greece.

1250 - 1320

- Timonin Ju.(Ukraine, Zhytomir, Institute of Business and Advanced Technology), Timonin A. (Russia, Saint-Petersburg, "Jupiter-2" Company). The Problems of Control for Economical Safety.

1320 - 1350

- Shuisky V.F., Maximova T.V., Petrov D.S., Lvutina N.V., Klavdiev I.A., Kuznetsova D.S. (Russia, Saint-Petersburg, St.-Petersburg state mining institute). Evaluation of Hydroecosystem Technogenic Damage on the Basis of Environmental Risk Analysis.

 

Section "Capital Markets Risk", Conference Hall, IPME RAS
Chairman N.V. Hovanov

1500-1520

- Rybakov A.V., Solojentsev E.D., Strokov D.S., Shiryaev A.V. (Russia, Saint-Petersburg, IPME RAS). Methods and Criteria of Training of Logical and Probabilistic Models of Credit Risks.

1520 - 1540

- Rothstein A. (Israel, Jerusalem, Jerusalem College of Technology), Shtovba S. (Ukraine, Vinnitsa, Vinnitsa National Technical University). Risk Assessing By Fuzzy Logic-Algorithmic Fault Tree.

1540 - 1600

- Kaminsky A.B. (Ukraine, Kiev, Economic Faculty of Kiev National Taras Shevchenko University). Investigation of risk-management systems in Ukrainian banks.

1600 - 1620

- Kolyada Yu.V., Yun I.V. (Ukraine, Kiev, Kiev National Economic University). Controlled Achievement of Dynamic Trajectory of Best Economic Growth as Method of Reducing of Risk of Social Problems.

1620 - 1640

- Pernarivsky A.V. (Ukraine, Irpen, National Academy of Ukrainian State Tax Administration). Modeling of Risk of Bank's Liquidity.

1640 - 1700

- Break

1700 - 1720

- Gvazava V.I. (Russia, Kaliningrad, Saint-Petersburg Institute of Management and Economics, Kaliningrad Branch). Professional Ethics and its Codes.

1730 -

- Closing Of Scientific School MA SR - 2005 (Conference Hall, IPME RAS).

 

Section "Risk in Engineering and Ecology", Conference Hall, SPII RAS
Chairman G.A. Tyurin

1500-1530

- Pchelnikov A.V., (Russia, Moscow, FSUE "STC "Industrial Safety"). Risk Assessment and Heavy Gas Dispersion Model for Consequences Analysis of Industrial Accidents.

1530 - 1600

- Goropashnaya A.V., Tyurin G.A. (Russia, Saint-Petersburg, FSUC "CSRI named academician A.N. Krylov"). Analysis of Labouriousness of Algorithms of Transformation of Logic Function into Probabilistic Function in Problems of Estimation of Safety of Structural Complex Systems.

1600 - 1630

- Alexeev A.V. (Russia, Saint-Petersburg, "Kirovsky Zavod" Company), Filipishen D.V. (Russia, Saint-Petersburg, Saint-Petersburg State University of Telecommunication named Prof. M.A. Bonch-Bruevich). Analysis of Stability of Technical Systems of Safety and Communication of Large Companies.

1630 - 1700

- Elgaev S.G. (Russia, Moscow, "Transinzhstroy" Company). Quantitative Estimation of Accident Risk and Damage in Building and Exploitation of Underground Installations (Tunnels).

1730 -

- Closing Of Scientific School MA SR - 2005 (Conference Hall, IPME RAS).

 

ORGANIZING COMMITTEE ADDRESS

Evgueni Dmitrievich Solojentsev
IPME RAS, Bolshoi pr., 61. V.O.
199178, St.Petersburg, RUSSIA
Tel.: 7(812)3214766 Fax.: 7(812)3214771
E_mail: esokar@gmail.com
http://www.ipme.ru/ipme/labs/iisad/sapr1.htm


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