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Tychastic Measure of Viability Risk Hardcover - 2014
by Jean-Pierre Aubin; Luxi Chen; Olivier Dordan
From the rear cover
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.
Details
- Title Tychastic Measure of Viability Risk
- Author Jean-Pierre Aubin; Luxi Chen; Olivier Dordan
- Binding Hardcover
- Pages 126
- Volumes 1
- Language ENG
- Publisher Springer
- Date 2014-08-21
- Illustrated Yes
- Features Illustrated
- ISBN 9783319081281 / 3319081284
- Weight 0.84 lbs (0.38 kg)
- Dimensions 9.21 x 6.14 x 0.38 in (23.39 x 15.60 x 0.97 cm)
-
Themes
- Aspects (Academic): Economic
- Dewey Decimal Code 332
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