Tychastic Measure of Viability Risk

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Synopsis

This book presents a forecasting mechanism of the price intervals for deriving the SCR (solvency capital requirement) eradicating the risk during the exercise period on one hand and measuring the risk by computing the hedging exit time function associating with smaller investments the date until which the value of the portfolio hedges the liabilities on the other. This information, summarized under the term “tychastic viability measure of risk” is an evolutionary alternative to statistical measures, when dealing with evolutions under uncertainty. The book is written by experts in the field and the target audience primarily comprises research experts and practitioners.

Book details

Edition:
2014
Author:
Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
ISBN:
9783319081298
Related ISBNs:
9783319081281
Publisher:
Springer International Publishing
Pages:
N/A
Reading age:
Not specified
Includes images:
Yes
Date of addition:
2019-08-31
Usage restrictions:
Copyright
Copyright date:
2014
Copyright by:
Springer International Publishing, Cham 
Adult content:
No
Language:
English
Categories:
Business and Finance, Mathematics and Statistics, Nonfiction