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
Published: Cham Springer International Publishing 2014, 2014
Edition:1st ed. 2014
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • 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