Tychastic Measure of Viability Risk
1st Edition
Published on 6. August 2014
XVII, 126 pages
978-3-319-08129-8 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Cham
Switzerland
Publishing group
Springer International Publishing
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XVII, 126 p. 70 illus., 68 illus. in color.
File size
6,05 MB
ISBN-13
978-3-319-08129-8 (9783319081298)
DOI
10.1007/978-3-319-08129-8
Schweitzer Classification
Other editions
Additional editions
Jean-Pierre Aubin | Luxi Chen | Olivier Dordan
Tychastic Measure of Viability Risk
Book
08/2014
Springer
€53.49
Shipment within 10-15 days
Content
Part I Description, Illustration and Comments of the Results.- The Viabilist Portfolio Performance and Insurance Approach .- Technical and Quantitative Analysis of Tubes.- Uncertainty on Uncertainties.- Part II Mathematical Proofs.- Why Viability Theory? A Survival Kit.- General Viabilist Portfolio Performance and Insurance Problem.
