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RUS

 

EIGHTH INTERNATIONAL SCIENTIFIC SCHOOL
in SAINT-PETERSBURG, RUSSIA, JUNE 24 - 28, 2008


"MODELLING and ANALYSIS of SAFETY and RISK
in COMPLEX SYSTEMS" (MA SR ľ 2008)


STATUS

The year 2008 International Scientific School "Modeling and Analysis of Safety and Risk in Complex Systems (MA SR - 2008)" will be held in Saint-Petersburg, Russia, June 24 - 28. 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 and Bureau of Credit Risk Estimation and Analysis "INO_TEL" Ltd. with the support of the Russian Foundation for Basic Research.

All participants will have the possibility to see the wonderful city - Saint-Petersburg.

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 2008 are:

1.

The consideration of methods and models for quantitative measurement and analysis of risk in economic, financial and social systems;

2.

The consideration of methods and models for quantitative measurement and analysis of risk in complex technical systems (nuclear power, gas and petroleum production and transportation, space, aviation, navy, etc.)

3.

Transformation of statistical data base (DB) into knowledge base (KB) in problems of risk;

4.

Logic-and-probabilistic (LP) risk models in banking, security portfolio, quality and efficiency, risk management of company, bribes and corruption;

5.

Introduction of risk attributes in multi-component systems;

6.

The development of relations between different areas of risk theory application.



TOPICS

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

a) Risk models in Business and Finance

 Market Risk;
 Operational and Liquidity Risk;
 Credit Risk;
 Risk of Security Portfolio;
 Risk in Problems of Strategic Management;
 Risk of Bribes and Corruption;
 Accuracy, Robustness and Transparency of Risk Estimation Methods in Business;
 Knowledge Bases and Problems of Risk, Efficiency and Management;
 Combined Logical and Probabilistic Risk Models.

b) Risk models in Engineering and Ecology

 Risk Models in Nuclear Power Engineering;
 Scenarios and Models of Safety and Failure Risk;
 Logical and Probabilistic Risk Models for Systems with Multi-State Elements;
 Identification and Optimization in Risk Problems;
 Risk Analysis and Risk Management;
 Software for Risk Modeling and Risk Analysis;

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

 

INTERNATIONAL PROGRAM COMMITTEE



PRESIDIUM

Chairman:
N. Machutov, corresponding member RAS (Russia, IME RAS),

Co-chairmen:
A. Agarwal, Professor (India, Indian Institute of Finance),
K. Giannopoulos, Professor (UAE, British University in Dubai),
I.A. Ryabinin, Professor (Russia, Naval Academy),
E.D. Solojentsev, Professor (Russia, IPME RAS).


SESSION "RISK in ENGINEERING & ECOLOGY"


I.A. Ryabinin, Professor (Russia, Naval Academy) - chairman

G.A. Ershov (Russia, "AtomEnergoProject")

A.S. Mozhaev (Russia, Sevzapmontazhautomatika)

Yu.A. Esipov (Russia, Rostov-on-Don University)

F. Popentiu (UK, City University, UNESCO Chair)

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

R. Righini (ENEA, Italy)

D.A. Indeitsev (Russia, IPME RAS)

A. Rotshtein (Israel)(USA)

H. Kumamoto (Japan, Kyoto University)

S.G. Tsiramua (Georgia, Tbilisi University)

V.M. Matrosov (Russia, IME RAS)

B.G. Volik (Russia, IPC RAS)

N.F. Morosov (Russia, SPSU)

R.M. Yusupov (Russia, SPII RAS)




SESSION "RISK in BUSINESS & FINANCE"


E.D. Solojentsev, Professor (Russia, IPME RAS) - chairman

C. Acerbi (Abax Bank)

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

G. Barone-Adesi (Switzerland)

M.S. Nikulin (France, University Bordeaux)

J. Cotter (University College Dublin, Ireland)

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

G.V. Dvas (Russia, Administration of Leningrad Region)

I. Peaucelle (France, CNRS/CEPREMAP)

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

G. Sorwar (UK, The University of Nottingham)

N.V. Hovanov (Russia, SPSU)

L. Spierdijk (Netherlands, University of Groningen)

A.I. Kibzun (Russia, MIA)

S. Uryasev (USA, University of Florida)

H.-J. Lenz, (Germany, Freie Universitat)

V.V. Vitlinsky (Ukraine, KNEU)

 

NATIONAL ORGANIZING COMMITTEE

E.D. Solojentsev, Professor, (Russia, IPME RAS) - chairman,
G.M. Reinstein (Russia, "Okeanpribor") - vice-chairman,
V.V. Karassev (Russia, IPME RAS) - secretary,
B.V. Sokolov (Russia, SPII RAS).

 

PARTICIPATION

Authors who wish to participate in the School should send a paper or brief thesis of lecture to risk@sapr.ipme.ru or kvv@cards.lanck.net, before March 25, 2008 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 20, 2008 by E_mail.

 

PUBLICATIONS

The accepted papers will be published as Proceedings of the School by support of Russian Foundation for Basic Research and sponsors. Detailed information about participants, sponsors and the program of the School will be posted on http://www.inotel.org/masrconference/ .

 

REGISTRATION FEE

The registration fee is 300 USD before May, 25, 2008 and 400 USD after May, 25, 2008.

 

PROGRAM


___________________________________________________________________
Tuesday, June 24
__________________________________________________________________

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

1000- 1030

Opening of the International Scientific School MA SR - 2008.
Centenary of Summary Coefficients Method by A.N. Krylov.

Hovanov N.V. (Russia, St-Petersburg, St-Petersburg State University). Estimation of Complex Objects under Information Deficiency Conditions.

1030 - 1100

- Luca Arciero, Claudia Biancotti, Leandro D'Aurizio, Claudio Impenna (Italy, Rome, Bank of Italy). An Agent-Based Model For Crisis Simulation In Payment Systems.

1100 - 1130

- K. Giannopoulos (UAE, Dubai, British University in Dubai), R. Nekhili (UAE, Dubai, University of Wollongong in Dubai). Volatility Spillovers and Price Interdenpendencies; a Dynamic Non Parametric Approach.

1130 - 1200

- Volik B.G. (Russia, Moscow, Institute of Control Sciences of Russian Academy of Sciences). About System Analysis and Guarantee of Man-Caused Safety.

1200 - 1220

- Coffee

1220 - 1250

- Elena Maftei, Florin Popentiu Vladicescu (Romania, Oradea, University of Oradea). Digital Libraries: Valuable Resources For The Risk Management Community.

1250 - 1320

- Kaminsky A.B. (Ukraine, Kyiv, Kyiv National University named T. Schevschenko), Vitlinsky V.V. (Ukraine, Kyiv, Kyiv National Economic University). CVaR modeling on the emerging markets.

1320 - 1350

- Ryabinin I.A. (Russia, St-Petersburg, Naval Academy). Dedicated to Memory of K.V. Frolov.

 

Section "Risk Models in Business and Finances", Conference Hall, IPME RAS
Chairman V.V. Vitlinsky

1500-1520

- Radaev N.N., Galchich O.Yu., Rojkova T.A. (Russia, Moscow Region, Razvilka, VNIIGAZ). Parameter Correlation for Bank Credit Risk Management.

1520 - 1540

- Shiyan D.V. (Ukraine, Kharkiv, Kharkiv National Agricultural University). New approach to investment risk assessment.

1540 - 1600

- Bryzgalova S., Gelman S. (Russia, Moscow, HSE ICEF). Long-Range Dependence in Emerging Financial Markets.

1600 - 1620

- Zaslavsky V.A., Strizhak A.A. (Ukraine, Kyiv, Kyiv National University named T. Schevschenko). Analysis and Estimation of Risk of Transactions in Payment System.

1620 - 1640

- Break

1640 - 1700

- Rogov M.A. (Russia, Moscow, University "Dubna"). Risk Management Value as a Portfolio of Real Options.

1700 - 1720

- Vitlinsky V.V, Verchenko P.I., Nikolaev N. G. (Ukraine, Kyiv, Kyiv National Economic University). Risks Influence Business Planning Adaptive Model.

1720 - 1740

- Kopchinskaya V.V, (Ukraine, Zhitomir, State University of Agronomy and Ecology). Risk Modeling in Anticrisis Management.

 

Section "Risk in Engineering and Ecology", Auditorium 9, IPME RAS
Chairman I.A. Ryabinin

1500-1520

- Viktorova V.S., Stepanyants A.S. (Russia, Moscow, Institute of Contrrol Sciences of RAS). Calculation of Failures, Recovery Frequency In Logical-Probabilistic Models.

1520 - 1540

- Afanasiev V.V., Polskiy Yu. E. (Russia, Tatarstan Republic, Kazan, Kazan State Technical University). Adaptive Spectral Analysis of Fractal Signals in Estimation of Dynamic Systems Stochasticity Risk.

1540 - 1600

- Stefanyshyn D.V. (Russia, St-Petersburg, "The B.E. Vedeneev VNIIG, Inc."). Assessment of accident risks to support safety of the Boureya dam.

1600 - 1620

- Chatti A., Gritli Ya. (Tunisia, Tunis, National Institute of Applied Sciences and Technology (INSAT)). Detection of Delays on a PWM Drive Under Non Stationary Conditions Using Wavelet Decomposition.

1620 - 1640

- Masychev S.I., Esipov Yu.V. (Russia, Rostov-na-Donu, Southern Scientific Centre of RAS). Application of Methods of Engineering Diagnostics for Predictions of Risks in Cardiology.

 

___________________________________________________________________
Wednesday, June 25
__________________________________________________________________

Plenary session 2, Conference Hall, IPME RAS
Chairman N.V. Hovanov

1000 - 1030

- Yousif Rahim, Ron Kenett (Italy, University of Torino). Using Risk Assessment Matrices in Ranking Projects and Modifications in the Petroleum Industry.

1030 - 1100

- Novosyolov A.A. (Russia, Krasnoyarsk, Academgorodok, Institute of Computational Modeling SB RAS). Higher Order Stochastic Dominance in Option Pricing and Insurance.

1100 - 1130

- Jeffrey L. Callen, Dan Segal (Canada, Toronto, Rotman School of Management, University of Toronto), Joshua Livnat (USA, New York, Stern School of Business, New York University). The Impact of Earnings on the Pricing of Credit Default Swaps.

1130 - 1200

- Harrant V., Vaillant N. (France, Reims, University of Reims (OMI-EDJ)). The Impact of Probabilities Change on Risky Behavior in the Case of Impending Death.

1200 - 1220

- Coffee

1220 - 1250

- Harin A.A. (Russia, Moscow, Modern University for Humanities). Creation of a Basic Equation of Approximative Forecasting Planning And Forecasting in Complex Systems.

1250 - 1320

- Radaev N.N., Bochkov A.V. (Russia, Moscow Region, Razvilka, VNIIGAZ). Terrorism Risk Assessment by Objects Operation.

1320 - 1350

- Ostrovsky E. (Israel, Department of Mathematic, HADAS company), Sirota L. (Israel, Ramat Gan, Department of Mathematic, Bar-Ilan University). Optimal Adaptive Legendre`s Measurement and Identification of Signal on the Background Noise.

 

Section "Risk Models in Business and Finances", Conference Hall, IPME RAS
Chairman A.A. Novosyolov

1500-1520

- Vitlinsky V.V., Skitsko V.I. (Ukraine, Kyiv, Kyiv National Economic University). Modeling Credit Risk of Enterprise in Current Conditions of Market Economy.

1520 - 1540

- Golembiovsky D.Yu. (Russia, Moscow, Bank "Zenit"). Portfolio Optimization without Consideration of Rare Events.

1540 - 1600

- Hrytsyuk P.M., Vitlinsky V.V. (Ukraine, Rovno, National University of Water Management and Nature Resources Use). Polyharmonical Forecasting as a Method of Investment Risks Minimization in Grain Production.

1600 - 1620

- Kirichenko O.S., Komzolov A.A. (Russia, Moscow Region, Razvilka, VNIIGAZ). Integrated Methodology of Analysis of Risk of Investment Projects in Natural Gas Industry.

1620 - 1640

- Break

1640 - 1700

- Kokh I.A. (Russia, Tatarstan Republic, Kazan, Kazan State Finance and Economics Institute). Historical Estimation of Market Risk for Shares.

1700 - 1720

- Meshalkina A., Gelman S. (Russia, Moscow, HSE ICEF). The underreaction and overreaction in asset markets with insiderstrading.

1720 - 1740

- Korolyov O.L. (Ukraine, Simferopol, Tavrida National University). Multigoal and Multi-Criterion Task of Search of Optimal Information Service Realization with Consideration of Risk Factors.

 

Section "Risk in Engineering and Ecology", Auditorium 9, IPME RAS
Chairman I.A. Ryabinin

1500-1520

- Avdeeva Z.K., Kovriga S.V. (Russia, Moscow, Institute of Control Sciences of Russian Academy of Sciences). Basic Sheme of Cognitive Training of Activities by Complex Analysis of Ill-Structured Problem Situations.

1520 - 1540

- Schmidt O.O. (Russia, Krasnoyarsk, Institute of Space and Information Technologies of Siberian Federal University). Non Parametric Methods of Estimation of Safety and Efficiency of Repairable Systems.

1540 - 1600

- Sokolov B.V., Pavlov A.N., Kirillov N.P., Ikonnikova A.V. (Russia, St-Petersburg, SPII RAS), Ivanov D.A. (Germany, Chemnitz, Chemnitz University of Technology). Possible Approaches Analysis for Uncertainty Factors In Model of Complex Technical Objects Structural Dynamic Control.

1600 - 1620

- Savina A.V. (Russia, Moscow, STC "Industrial Safety"). Avowal of Industrial Safety of Chemical-Recovery Productions.

1620 - 1640

- Shishkin R.I. (Russia, Rostov-na-Donu, Rostov Academy of Service), Samsonov F.A. (Russia, Rostov-na-Donu, Rostov Military Institute of Rocket Forces). Factorial Parametric Model of Visualization of Incidents in Potentially Dangerous System.

 

___________________________________________________________________
Thursday, June 26
__________________________________________________________________

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

1000 - 1030

- Sokolov B.V., Yusupov R.M. (Russia, St-Petersburg, SPII RAS). Comprehensive Approaches to Integrated Risk Modeling to Generate Control Decision in Complex Technical System

1030 - 1100

- Solojentsev E.D. (Russia, St-Petersburg, IPME RAS). Logical and Probabilistic Analysis of Risk and Efficiency of Structural Complex Social, Technical and Economic Processes (SCSTEP).

1100 - 1130

- Sigal A.V., Lin Sen (Ukraine, Simferopol, Tavrida National University). Theory-Game Model of Crediting Physical Persons Based on the Analysis of Credit Histories.

1130 - 1200

- Vitlinsky V.V. (Ukraine, Kyiv, Kyiv National Economic University), Makhanets L.L. (Ukraine, Chernivtsy, Chernivtsy National University named Yu. Fedkovich). National Economic Security as Condition of Steady Development.

1200 - 1220

- Coffee

1220 - 1250

- Pustylnik P.N. (Russia, St-Petersburg, Russian State Pedagogic University named Gertsen A.I.). Application of Factor Analysis in Research of the Control System in Industrial Sector of Russia.

1250 - 1320

- Abramova N.A., Kovriga S.V. (Russia, Moscow, Institute of Contrrol Sciences of RAS). About Some Principles of Protection from Risks Caused by Human Factor in Development of Strategies and Scenarios of Control of Complex Industrial Objects on Basis of Cognitive Approach.

1320 - 1350

- Kulik B.A. (Russia, St-Petersburg, IPME RAS). Mathematical Ratio as Basic Structure of Logic.

 

Section "Risk Models in Business and Finances", Conference Hall, IPME RAS
Chairman V.V. Vitlinsky

1500-1520

- Hovanov N.V. (Russia, St-Petersburg, St-Petersburg State University). Dynamics of Aggregated Currencies' Nominal and Worth Structures.

1520 - 1540

- Sukhanova A. P. (Ukraine, Kiev). Risk Based Assessment Model of Investment Project Effectiveness for Foreign Investor.

1540 - 1600

- Klimchuk S.V., Bodner G.D., Druzin P.V. (Ukraine, Simferopol, Tavrida National University). Regional Financial Restructurisation's Model of Food Industry' Company.

1600 - 1620

- Kostynchuk L. (Ukraine, Chernivtsy, Chernivtsy National University named Yu. Fedkovich). Diagnostics of Economic Safety at Regional Level.

1620 - 1640

- Break

1640 - 1700

- Semenov A.T. (Russia, Novosibirsk, Novosibirsk State University of Economics and Management). Risk and Its Measurement.

1700 - 1720

- Pernarivsky A.V. (Ukraine, Kyiv Region, Irpen, National University of Ukrainian State Tax Administration). Strategy of Risk Management in Bank Consumer Crediting.

 

Section "Risk in Engineering and Ecology", Auditorium 9, IPME RAS
Chairman I.A. Ryabinin

1500 - 1520

- Klevtsov A.L. (Ukraine, Kharkov, State Scientific-Technical Center on Nuclear and Radiation Safety). Development of automated system of expert activity support under safety assessment of NPP instrumentation and control systems.

1520 - 1540

- Viktorova V.S., Stepanyants A.S. (Russia, Moscow, Institute of Control Sciences of Russian Academy of Sciences). Testability Estimation at the Decision of Reliability and Safety Analysis Problems for On Board Systems.

1540 - 1600

- Kvashnin B.S., Klimantov A.A. (Russia, St-Petersburg, SRL NWB "ECC "Promtehbezopasnost"). The Optimization of Volume Reservour Parks with Registration of Result of Analysis of Risk.

1600 - 1620

- Reinstein G.M. (Russia, St-Petersburg, SPC "Okeanpribor"). About Reduction of Time of Cycle "Research-Design-Production" for New Complex Technical Systems and Increasing of Reliability of These Systems.

1620 - 1640

- Rasova S.S., Harlamov B.P. (Russia, St-Petersburg, IPME RAS). Problems of minimization of losses in observation of possibility of failure.

 

___________________________________________________________________
Friday, June 27
__________________________________________________________________

Plenary session 4, Conference Hall, IPME RAS
Chairman N.V. Hovanov

1000 - 1030

- Rotshtein A.P. (Israel, Jerusalem Colledge of Technology-Lev Institute), Kozachko A.N., Melnik O.P. (Ukraine, Vinnitsa, Vinnitsa National Technical University). Possibility Based Human-Machine Systems Parametric Reliability Evaluation.

1030 - 1100

- Shuisky V.F., Maksimova T.V., Monastyrshina A.N. (Russia, St-Petersburg, Russian State Pedagogic University named Gertsen A.I.). Evaluation of Multifactor Impact on Hydroecosystems and Environmental Risk Caused by This.

1100 - 1130

- Stefanyshyn D.V. (Russia, St-Petersburg, "The B.E. Vedeneev VNIIG, Inc."). Some results of comparison of two strategic variants of development of the hydraulic power engineering in Russia with taking account of risks of lost opportunities.

1130 - 1200

- Tsitsiashvili G. Sh. (Russia, Vladivostok, Institute for Applied Mathematics, Far Eastern Branch of RAS). Calculation of reliability and another characteristics of recursively defined ports.

1200 - 1220

- Coffee

1220 - 1250

- Grazhdankin A.I. (Russia, Moscow, STC "Industrial Safety"). Scientific and Technical Involution in Native Industry. Prevention of Accidents and Traumatism.

1250 - 1320

- Sokolov M.V. (Russia, St-Petersburg, The St.-Petersburg state university of economics and finance). Comparison Meaningful Dispersion Measures and Related Means of a Simple Random Variable.

1320 - 1350

- Kostyuk L.A. (Russia, St-Petersburg, North-West SRI of Cultural and Natural Heritage). I.A. Ryabinin - Scientist and Publicist Second Half ┼┼ - Beginning of ┼┼I Century.

 

Section "Risk Models in Business and Finances", Conference Hall, IPME RAS
Chairman A.A. Novosyolov

1500-1520

- ┬imonin Ju. A., ┬imonin A. Ju. (Russia, St-Petersburg, Jupiter-2). Models And Methods Of Economic Safety Of Business.

1520 - 1540

- Novosyolov A.A. (Russia, Krasnoyarsk, Academgorodok, Institute of Computational Modeling SB RAS). Generators of distorted probability functionals.

1540 - 1600

- Radaev N.N., Ivanchenko A.A. (Russia, Moscow Region, Razvilka, VNIIGAZ). Act of God. Risk Assessment and Management.

1600 - 1620

- Udovenko V.A. (Ukraine, Kyiv, Kyiv National Economic University named V. Getman). Conception of Using of Neuro-Linguistic Programming for Modeling in Business.

1620 - 1640

- Kussy M.Yu. (Ukraine, Simferopol, Tavrida National University). Factor of Market's Current Volatility as Measure of Risk.

1640 - 1700

- Karasev V.V. (Russia, St-Petersburg, IPME RAS). Features of LP Risk Theory with GIE and Perspectives of Its Development.

1700

- Closing Of Scientific School MA SR - 2008 (Conference Hall, IPME RAS).

 

Section "Risk in Engineering and Ecology", Auditorium 9, IPME RAS
Chairman I.A. Ryabinin

1500 - 1520

- Stefanyshyn D.V. (Russia, St-Petersburg, "The B.E. Vedeneev VNIIG, Inc."). Application of risk analysis to support safety of dams and flooded territories against floods.

1520 - 1540

- Ovchinnikova T.I., Ivleva T.S. (Russia, Moscow, State Technological University "Moscow Institute of Steel and Alloys"). Problems of Estimation of Moral Damage in Systems of Control of Safety of Vital Activity of Enterprise.

1540 - 1600

- Lisanov M.V., Merkulova O.V. (Russia, Moscow, STC "Industrial Safety"). Risk Analysis, Industrial Safety and Technical Regulation.

1600 - 1620

- Cheremisin A.I. (Russia, Rostov-na-Donu, Rostov Academy of Service), Esipov Yu.V. (Russia, Rostov-na-Donu, Southern Scientific Center of RAS). Possible Estimation of Limiting States of Objects of Mechanical Engineering and Transport.

1620 - 1640

- Esipov Yu.V. (Russia, Rostov-na-Donu, Southern Scientific Center of RAS)., Mishenkina Yu.S. (Russia, Rostov-na-Donu, Rostov Academy of Service), Hazov A.E. (Russia, Rostov-na-Donu, Scientific Research Center of Safety of Technical Systems, Defense Department of Russia). Execution of Integrated Possible Estimation of Safety and Risk on Example of Gas Communication System.

1700

- Closing Of Scientific School MA SR - 2008 (Conference Hall, IPME RAS).



 

ORGANIZING COMMITTEE ADDRESS

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


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