Tychastic Measure of Viability Risk

Aubin, Jean-Pierre; Chen, Luxi; Dordan, Olivier

ISBN 10: 3319081284 / ISBN 13: 9783319081281

Verlag: Springer, 2014

In English. Bestandsnummer des Verkäufers ria9783319081281_new

Inhaltsangabe:

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.

Von der hinteren Coverseite: 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.

Bibliografische Details

Titel: Tychastic Measure of Viability Risk
Verlag: Springer
Erscheinungsdatum: 2014
Einband: Hardcover
Zustand: New