ENGLISH

Tychastic Measure of Viability Risk

By Jean-Pierre Aubin , Luxi Chen , Olivier Dordan (auth.)

Book information

Publisher
Springer International Publishing
Year
2014
ISBN
978-3-319-08128-1, 978-3-319-08129-8
DOI
10.1007/978-3-319-08129-8
Language
english
Format
PDF
Filesize
6 MB (6009923 bytes)
Edition
1
Pages
126\136
Time added
2014-11-10 20:00:00
Quantitative Finance; Financial Economics; Probabi

Description

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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