Tychastic Measure of Viability Risk
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 wh...
Main Authors: | , , |
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Format: | eBook |
Language: | English |
Published: |
Cham
Springer International Publishing
2014, 2014
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Edition: | 1st ed. 2014 |
Subjects: | |
Online Access: | |
Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Summary: | 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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Physical Description: | XVII, 126 p. 70 illus., 68 illus. in color online resource |
ISBN: | 9783319081298 |