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Tychastic Measure of Viability Risk

By: Jean-Pierre Aubin,Luxi Chen,Olivier Dordan

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Tychastic Measure of Viability Risk

By: Jean-Pierre Aubin,Luxi Chen,Olivier Dordan

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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Page Count

136

Publisher

Springer

Published Date

ISBN 10

3319081292

ISBN 13

9783319081298

Tychastic Measure of Viability Risk

By: Jean-Pierre Aubin,Luxi Chen,Olivier Dordan

Write a review Read reviews Take a Quiz Solve Book Puzzle

Tychastic Measure of Viability Risk

By: Jean-Pierre Aubin,Luxi Chen,Olivier Dordan

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.

Average ratings

N/A

5

0%

4

0%

3

0%

2

0%

1

0%

Write a review

Solve jigsaw puzzle

Age

Page Count

136

Publisher

Springer

Published Date

ISBN 10

3319081292

ISBN 13

9783319081298

Book's by Luxi Chen

Tychastic Measure of Viability Risk

Tychastic Measure of Viability Risk

Tychastic Measure of Viability Risk

Tychastic Measure of Viability Risk

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