Tychastic Measure of Viability Risk - Hardcover

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

 
9783319081281: Tychastic Measure of Viability Risk
Hardcover
ISBN 10: 3319081284 ISBN 13: 9783319081281
Verlag: Springer, 2014

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.

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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.

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Verlag
Springer
Erscheinungsdatum
2014
Sprache
Englisch
ISBN 10 
3319081284
ISBN 13 
9783319081281
Einband
Gebundene Ausgabe
Anzahl der Seiten
143
Kontakt zum Hersteller
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Deutschland

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