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Tychastic Measure of Viability Risk

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Springer

Paru le : 2014-08-06

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 whi...
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Description du livre

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.

À propos

Auteur
Jean-Pierre Aubin , Luxi Chen , Olivier Dordan
Éditeur
Springer
Collection
n.c
Parution
2014-08-06
Pages
126 pages
EAN papier
9783319081281

Caractéristiques détaillées - droits

EAN EPUB
9783319081298
Prix
52,74 €
Nombre pages copiables
1
Nombre pages imprimables
12
Taille du fichier
3604 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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