Fractal analysis of the medical insurance market: Theoretical and practical aspects

Abstract

The latest experience obviously reflects that social-economic systems increasingly demonstrate an unforecastable behaviour. Financial markets are characterised by extremely guick change and crisis phenomena. Use of traditional modelling methods (in particular, the effective market hypothesis) provides no opportunity to obtain efficient forecasts about state and development of financial markets. One of promising methods in researching and modelling financial markets is the fractal analysis. Various natural and social phenomena posess fractality properties, namely there are similar structures on different scales. Generality of the fractal analysis methods allows their applying to study systems of any nature – from physical to economic and social ones. Fractality attributes of time series provide its dynamics pre-forecast and assess the time series predictability. The fractal analysis consists in establishing the extent of time series similarity to the fractal ones and defining a relation between the trend line and fractal dimension. The Hurst exponent assessment (persistence or anti-persistence of time series) predicts the further process development on the preliminary data basis. The fractal analysis efficiency during the unstable market periods is applicable for studying different social-economic systems (in particular, the Ukrainian medical insurance market). The research object is time series of gross insurance rewards on the Ukrainian medical insurance market. The research topic is the time series fractal analysis. The paper deals with peculiarities of the time series fractal analysis, the R/S analysis for time series of gross insurance rewards on the Ukrainian medical insurance market (via the MS Excel software). The Statistica 10.0.228.2 application generated the ARIMA model to predict dynamics of the gross insurance rewards on the Ukrainian medical insurance market. The obtained results may be used to conduct the R/S analysis of financial time series. In particular, that concerns those time series that describe the insurance market. Also, dynamics of the financial time series may be forecasted via these results as well.