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2017 | Book

Selected Methods of Risk Modelling in Management Process Read chapter Read first chapter

Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV

Editors: Zofia Wilimowska, Leszek Borzemski, Adam Grzech, Jerzy Świątek

Publisher: Springer International Publishing

Book Series : Advances in Intelligent Systems and Computing

Part of: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

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About this book

This four volume set of books constitutes the proceedings of the 2016 37th International Conference Information Systems Architecture and Technology (ISAT), or ISAT 2016 for short, held on September 18–20, 2016 in Karpacz, Poland. The conference was organized by the Department of Management Systems and the Department of Computer Science, Wrocław University of Science and Technology, Poland. The papers included in the proceedings have been subject to a thorough review process by highly qualified peer reviewers. The accepted papers have been grouped into four parts:

Part I—addressing topics including, but not limited to, systems analysis and modeling, methods for managing complex planning environment and insights from Big Data research projects.

Part II—discoursing about topics including, but not limited to, Web systems, computer networks, distributed computing, and multi-agent systems and Internet of Things.

Part III—discussing topics including, but not limited to, mobile and Service Oriented Architecture systems, high performance computing, cloud computing, knowledge discovery, data mining and knowledge based management.

Part IV—dealing with topics including, but not limited to, finance, logistics and market problems, and artificial intelligence methods.

Table of Contents

Frontmatter

Risk Modeling in Decision Making Process

Frontmatter
Selected Methods of Risk Modelling in Management Process
Abstract
A company’s value increasing is the main goal of the firm activity that creates opportunities for long term functioning and its development. The goal realization makes the investors seeing the company better and the company can find the capital easer. Uncertainty and the risk that is associated with business activity require a special instrument supporting managerial decision that creates firm’s value. In the paper some selected methods of risk modelling are presented; stochastic method, fuzzy method, fractal method and discrete method are considered.
Zofia Wilimowska, Sebastian Klaudiusz Tomczak, Marek Wilimowski
Joint Treatment of Imprecision and Randomness in the Appraisal of the Effectiveness and Risk of Investment Projects
Abstract
This paper proposes a new method for evaluating the effectiveness and risk of investment projects in the presence of both fuzzy and stochastic uncertainty. The main novelty of the proposed approach is the ability to take into account dependencies between uncertain model parameters. Thanks to this extra feature, the results are more accurate. The method combines non-linear programming with stochastic simulation, which are used to model dependencies between stochastic parameters, and interval regression, which is used to model dependencies between fuzzy parameters (possibility distributions). To illustrate the general idea and the effectiveness of the proposed method, an example from metallurgical industry is provided.
Bogdan Rębiasz, Bartłomiej Gaweł, Iwona Skalna
Analysis of the Insurance Portfolio with an Embedded Catastrophe Bond in a Case of Uncertain Parameter of the Insurer’s Share
Abstract
In this paper, a behavior of an insurer’s portfolio, which consists of two layers: a classical risk process and a special financial instrument, which is known as a catastrophe bond, is analyzed. Especially, a probability of a ruin for such a portfolio is estimated using the Monte Carlo simulations. A special attention is given to a problem of an insurer’s share in a whole insurance market, which associates values of the catastrophic losses with values of the claims for the considered insurer. It is also an important source of a systematic risk. Because such a share is often an uncertain parameter, then a fuzzy number is used to model its value. This approach incorporates the experts’ knowledge. Based on the simulations, observed differences between a crisp and a fuzzy case are described in a more detailed way.
Maciej Romaniuk
How Can the Fractal Geometry Help with Analyze of the Stock Exchange Market?
Abstract
Currently, more and more scientists seek interdisciplinary solutions which will allow to have more detailed studies on the phenomena occurring in capital markets. That’s why, the main goal of this paper is to shows the capabilities which fractal methods give when used for capital market analysis. The practical part of the paper focuses on the Warsaw Stock Exchange (WIG) index analysis with the use of the Detrending Fluctuation Analysis (DMA) method.
Anna Czarnecka, Arkadiusz Górski
State-Space Modeling and Analysis of Order-up-to Goods Distribution Networks with Variable Demand and Positive Lead Time
Abstract
The paper addresses inventory management problem in goods distribution systems organized in a network structure. Contrary to majority of earlier approaches, that restrict the analysis to chain and tree-like configurations, mesh connectivity is considered. The external, a priori unknown demand may be imposed on any node of the managed network and goods trans-shipments are effectuated with positive lead time. The paper proposes a state-space model of the network node interaction under distributed order-up-to inventory policy. Managerial insights regarding target stock and warehouse space selection are provided and supported with numerical tests.
Przemysław Ignaciuk
Investment Recommendation Optimism—Results of Empirical Research on Polish Capital Market
Abstract
In the article, we analyzed the investment recommendation optimism on polish capital market. We defined the measure of optimism, which compares valuation of companies according to investment recommendation and fixed growth model. Over 170 investment recommendations form years 2014 and 2015 were investigated. The research indicates that the analysts are more likely to announce higher valuation than the historical value drivers and fixed growth model suggests. The highest optimistic perception occurs for companies with low historical financial scores. The highest optimism was observed for companies with “buy” recommendations as well as companies in the value destruction zone.
Michał J. Kowalski, Jadwiga Praźników
Intellectual Capital—Measuring the Immeasurable and Reporting
Abstract
This paper reviews “Reporting of intellectual capital.” This dissertation shows the problem of the definition and the significance of the intellectual capital, as well as the methods and means of measurement and reporting in enterprises. The first part of the work is a query literature on intellectual capital. It presents the origins, definition, nature and the role played by the intellectual capital, as well as various approaches to the subject. The second part describes selected methods of measuring and evaluating the intellectual capital. This section contains information on the preparation of the report and the elements that it should contain in terms of suitability. The last part of paper is a presentation of a proposal of the intellectual capital report, that can be developed and used in practice.
Anna Maria Kamińska, Agnieszka Parkitna, Sandra Siałkowska

Management of Innovation

Frontmatter
Open Innovation Model in Enterprises of the SME Sector—Sources and Barriers
Abstract
The objective of the proposed article is identification of sources and barriers affecting the efforts to “open” innovation processes in Polish organizations. It presents the results of empirical research conducted through a survey on 83 Polish companies from the SME sector. The concept of open innovation, as a new paradigm of innovation management, was first used by Chesbrough (2003).
Dominika Mierzwa, Katarzyna Walecka-Jankowska, Joanna Zimmer
Methods of Assessing the Level of the Technology Innovation and Polish Innovativeness in Years 2010–2014
Abstract
This paper is the review of methods that are used to assess the level of the technology innovation. Shown is the detailed scheme of technology transfer project and the most popular methods of the project management. This is followed by the innovation audit steps. Next section is an analysis of statistics of Polish innovation indexes. The contains the information about Global innovation Index and shown is Polish position among the all countries.
Anna Maria Kamińska, Zofia Wilimowska
The Formation of Regional Strategy of Innovation-Industrial Development
Abstract
An approach to formation of regional strategy of innovation industrial development is suggested in the research. The concept of system of regional indicators (SRI) is used for development of innovation-industrial strategy of regions of Far North of Russia. Set of regional strategic maps is presented in framework of this concept. This tool gives a possibility to define and organize subjects of innovation, objects of innovation, and helps to attract and redistribute resources for the innovation development. Regional indicators also allow the authorities to control the process of strategic goals achieving.
Kozlov Aleksandr, Gutman Svetlana, Zaychenko Irina, Rytova Elena
Modular Experience-Based Smart Innovation Engineering System
Abstract
The current paper presents the systematic approach for supporting the product innovation process of manufactured products. The proposed system uses a collective, team-like knowledge developed by innovation related experiences of the formal decisional events. The proposed system for smart innovation engineering carries the promise to support the innovation processes in a quick and efficient way. It stores the past decisional events or sets of experiences related to innovation issues, which significantly enhances innovation progression. Implementing this system in the process of product innovation enables entrepreneurs and organizations to take enhanced innovative decisions at appropriate time.
Mohammad Maqbool Waris, Cesar Sanin, Edward Szczerbicki

Finance Management

Frontmatter
The Acquirement and Functioning of Mezzanine Capital on the Example of Enterprises Operating in the Republic of Poland
Abstract
A survey of international literature provides an overview of mezzanine capital and its comparison with other sources of funding. It also explains the characteristics of the cost of financing, taking into account various forms of compensation for the investor. The aim of this study is to analyze the conduct of companies in the initial period after obtaining mezzanine capital, while functioning in general conditions of economic growth. Tools used for the analysis of hypotheses were statistical methods applied for the selected economical and financial figures. The performed analysis of mezzanine financing was also used for the evaluation of size of enterprises applying this method of financing. Studies have shown the correlation of net sales revenue and net profit. The analysis also proved that it is mostly medium and large enterprises from developing countries, who receive funds in form of mezzanine capital. While applying for this type of funding the companies have had stable cash flows, but their access to the required amount of capital was limited.
Zbigniew Kuryłek
Modelling of Currency Exchange Rates Using a Binary Representation
Abstract
The present article proposes a new method for modeling currency exchange rates in a binary representation, with the exchange rate of AUD/NZD as an example. The binary representation, obtained on the basis of 5-year long tick historical data, is incorporated into a statistical analysis to derive and determine relevant parameters for the model. The model presented in the article makes it possible to approximate the probability of the direction of changes in the currency exchange rate in relation to its preceding changes. The model is characterized by the following features: the independence of its parameters on overriding trends and a possibility of its application to construct automatic prediction systems.
Michał Dominik Stasiak
The Factors and Parameters Determining the Formation of the Target Capital Structure in Family Businesses
Abstract
Capital structure management company can be considered one of the most difficult issues in the entire process of business management. Conscious use of available capital, the use of debt capital makes it possible to achieve greater benefits for the owners of the company including family businesses. Decisions on the management structure of finance in the family business have a significant impact on the financial situation and, consequently, the value of the company. Owners of small family businesses do not usually have specialized education of finance, often these companies can not afford to employ qualified staff of financial. According Lewandowska [21] our native companies do not make full use of opportunities created by alternative forms of financing.
Maria Malinowska, Danuta Seretna-Sałamaj

Models of Organization

Frontmatter
Measurement of a Hierarchy as an Organizational Structure Feature
Abstract
The main purpose of this paper is to present the concept of a fairly comprehensive measurement method for hierarchy, taking into account, among others, the intensity of inferiority—superiority relation, neglected in the literature. The key finding is that there is a need for the more comprehensive understanding of hierarchy (that includes the hierarchy of power). There is also a need for a measure that will allow the analysis of the hierarchy, which is understood in this way. New hierarchy concept is proposed based on expert knowledge. The hierarchy measure is formulated using mathematical and expert knowledge. The proper reaction of this measure for common hierarchy changes is verified using case study. The proposed measure is verified using case study analysis to validate its usefulness. This paper presents the basic idea and overview of the hierarchy concept and measure and is the first step in the process of verification.
Katarzyna Tworek, Marian Hopej, Janusz Martan
Creative Thinking in Management of Disruptive Technologies
Abstract
The article presents creative thinking as a construct determining development of disruptive technologies. This construct consists of three elements: innovative thinking, design thinking and strategic thinking. The notion of creative thinking is understood as the organisation’s ability to solve problems from different perspectives, with the use of knowledge, intuition and reason, and as a result getting a fresh look at their substance. Thinking understood in this way allows for generating a breakthrough solution that does not constitute a solution directly resulting from the commonly accepted and recommended paradigm.
Aldona Małgorzata Dereń, Jan Skonieczny
Relations Between IT and Organizational Learning Capability—Empirical Studies Among Polish Organizations
Abstract
The aim of this article is to demonstrate the relation between the use of information technology (IT) and development of organizational learning capability (OLC) with regard to the intermediate role of organic structural solutions. The importance of an information system for the OLC is discussed and empirically verified (CFA was used on a sample of 212 companies). It enabled reflection on the relation between IT and OLC. In the light of previous studies a direct relation between OLC and the use of IT in organizations is neither obvious nor clear. This articles describes studies indicating that IT can have an indirect impact on the OLC through organic structural solutions. Using the OLC model, the role of organic structure in shaping the OLC is proven. Empirical research are presented, showing IT as a factor contributing to the organic structural solutions (the regression analysis was used on a sample of 105 companies).
Katarzyna Tworek, Anna Zgrzywa-Ziemak
Efficiency and Maturity Assessment Model of RUP Process in IT Organizations
Abstract
A crucial problem in modern software engineering is maturity assessment of organizations developing software, however, research has shown that efficiency is a clearer indicator of agile transformation readiness. We propose utilizing a process model of RUP development methodology, as a pattern for comparing it with the examined process. Two factors were proposed to assess maturity and factor determining the efficiency of the RUP process. The above mentioned RUP model concept is based on a multi-agent based simulation (MABS). It presents goals and behaviours of agents as well as components of the agent system environment. To confirm the usefulness of the method for assessment of organization’s maturity, a two-fold experiment was undertaken. The results confirm the usefulness of the model in efficiency and maturity assessment. First part consisted of tuning the simulation internal parameters to the development process. In the second part we propose three factors that can be used to assess efficiency and maturity of a RUP IT organization. The proposed coefficients are an extension of previous research by the authors, devoted to the assessment of organizational readiness for agile processes transformation.
Włodzimierz Wysocki, Cezary Orłowski, Artur Ziółkowski, Grzegorz Bocewicz
Application of Neural Network to Predict Purchases in Online Store
Abstract
A key ability of competitive online stores is effective prediction of customers’ purchase intentions as it makes it possible to apply personalized service strategy to convert visitors into buyers and increase sales conversion rates. Data mining and artificial intelligence techniques have proven to be successful in classification and prediction tasks in complex real-time systems, like e-commerce sites. In this paper we proposed a back-propagation neural network model aiming at predicting purchases in active user sessions in a Web store. The neural network training and evaluation was performed using a set of user sessions reconstructed from server log data. The proposed neural network was able to achieve a very high prediction accuracy of 99.6 % and recall of 87.8 %.
Grażyna Suchacka, Sławomir Stemplewski
Searching for a Method of Basic Schedules Generation Which Influences Over the Performance of Predictive and Reactive Schedules
Abstract
Two immune algorithms were selected in the process of searching for an algorithm which achieves a good quality basic schedule, i.e. Multi Objective Immune Algorithm (MOIA), Clonal Selection Algorithm (CSA). The two algorithms are applied for a multi criteria job shop scheduling problem. The basic schedules are modified using the rule of the Minimal Impact of Disturbed Operation on the Schedule (MIDOS) in order to generate predictive schedules. The influence of rescheduling policies over the performance of the job shop system is investigated using the rule of the Minimal Impact of Rescheduled Operation on the Schedule (MIROS). The three steps are proposed in order to achieve robust and stable schedules. In this paper the algorithms are presented. In the second paper (under the title of On the Quality of Basic Schedules Influencing over the Performance of Predictive and Reactive Schedules), the influence of the quality of basic schedules on the obtainment of stable and robust schedules with the application of the MIDOS and MIROS is investigated.
Iwona Paprocka, Wojciech M. Kempa
On the Quality of Basic Schedules Influencing over the Performance of Predictive and Reactive Schedules
Abstract
Searching for an algorithm which achieves good quality basic schedules, in predefined time, two immune algorithms are compared, Multi Objective Immune Algorithm (MOIA), Clonal Selection Algorithm (CSA). In the MOIA two stages are distinguished, the first stage mimics the exogenous activation and the second corresponds to the endogenous activation of an immune system. The architecture of CSIA mimics the clonal proliferation and maturation processes. The two algorithms are applied for a multi criteria job shop scheduling problem. Basic schedules are modified using the rule of Minimal Impact of Disturbed Operation on the Schedule (MIDOS) in order to generate predictive schedules. The influence of rescheduling policies over the performance of a job shop system is investigated using the rule of Minimal Impact of Rescheduled Operation on the Schedule (MIROS). In the paper, the influence of the quality basic schedules over the obtainment of stable and robust schedules with the application of the MIDOS and MIROS is investigated.
Iwona Paprocka
Synergetic Models of Customer–Seller Relations
Abstract
This article is devoted to the problems of computer simulation models of market relations as an example of trade companies. The distinctive feature of economic relations is that they take place in systems that are open systems. The structure of economic relations is subject to constant alterations, which occur during the changing of the relationship between local market participants and especially the micro-level relationships. The micro-level relationships, in view of their goals, cause a change in the structure of market relations at the macro level. For systems based on market relations, the characteristic feature is self-organizing. The paper considers synergetic models based on simulations of market relations at the micro level with the implementation of these relationships on a mass scale in the environment of cellular automata by means of the Lotka-Volterra Prey-Predator model.
Aleksandr Katkow
Exponential Inertia Weight in Particle Swarm Optimization
Abstract
This paper presents an improved particle swarm optimization algorithm (EWPSO) with a novel strategy for inertia weight. In the new algorithm, nonlinear inertia weight is proposed. The new weight is an exponential function of the minimal and maximal fitness of the particles in each iteration. The set of benchmark function was used to test the new method. The results were compared with those obtained through the standard PSO with linear decreasing inertia weight (LDW-PSO) and RNW-PSO. Simulation results showed that EWPSO is more effective for the tested problems than both LDW-PSO and RNW-PSO.
Bożena Borowska
Marketing Model of Value Creation (4V’s Model of the Product)
Abstract
The key issue of the paper is a synthesis of different marketing models into one consistent idea. It should allow to show how the value for the customer is created and how to analyze it on the model. The work starts from generic strategies model, which was developed in strategy clock. A map of product value is the main result. Resulted model is confronted with some existing models and tested on 2 case studies.
Grzegorz Cieloch
The Paradigm of Effectiveness of Public Hospitals
Abstract
This paper reviews various analysis and evaluation methods for measuring hospital effectiveness. Differentiation of hospitals due to the legal subjectivity. The specificity of the activities of hospitals as the main determinant of effectiveness measurement. Identification of the determinants of the measurement of efficiency in public hospitals. Identified in a set group hospitals, which can be considered as the most effective and which might be a model group. Established a list of possible non-economic factors that determine the efficiency of hospitals. At the end of the model they created prerequisites efficiency of hospitals, which can be a basis for further scientific consideration of this topic—The paradigm of the measurement of efficiency in public hospitals-evaluation of model.
Agnieszka Parkitna, Magdalena Gądek
Backmatter
Metadata
Title
Information Systems Architecture and Technology: Proceedings of 37th International Conference on Information Systems Architecture and Technology – ISAT 2016 – Part IV
Editors
Zofia Wilimowska
Leszek Borzemski
Adam Grzech
Jerzy Świątek
Copyright Year
2017
Electronic ISBN
978-3-319-46592-0
Print ISBN
978-3-319-46591-3
DOI
https://doi.org/10.1007/978-3-319-46592-0

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