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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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- VerlagSpringer
- Erscheinungsdatum2016
- ISBN 10 3319363042
- ISBN 13 9783319363042
- EinbandRústica
- Anzahl der Seiten144
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Tychastic Measure of Viability Risk
Verlag:
Springer International Publishing
(2016)
ISBN 10: 3319363042
ISBN 13: 9783319363042
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Buchbeschreibung Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9783319363042
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