Tychastic Measure of Viability Risk

• Κύριοι συγγραφείς: Aubin, Jean-Pierre (Συγγραφέας), Chen, Luxi (Συγγραφέας), Dordan, Olivier (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Θέματα: Mathematics.; Finance.; Economics, Mathematical.; Probabilities.; Macroeconomics.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Probability Theory and Stochastic Processes.; Finance, general.
• Φυσική περιγραφή: XVII, 126 p. 70 illus., 68 illus. in color. online resource.
• ISBN: 9783319081298

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.