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...

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Bibliographic Details
Main Authors: Aubin, Jean-Pierre, Chen, Luxi (Author), Dordan, Olivier (Author)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2014, 2014
Edition:1st ed. 2014
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Description
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
Physical Description:XVII, 126 p. 70 illus., 68 illus. in color online resource
ISBN:9783319081298