Tychastic Measure of Viability Risk

• Main Authors: Aubin, Jean-Pierre (Author), Chen, Luxi (Author), Dordan, Olivier (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Subjects: Mathematics.; Finance.; Economics, Mathematical.; Probabilities.; Macroeconomics.; Quantitative Finance.; Macroeconomics/Monetary Economics//Financial Economics.; Probability Theory and Stochastic Processes.; Finance, general.

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...

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.