Jean-Pierre Aubin,
Luxi Chen,
Olivier Dordan
Tychastic Measure of Viability Risk
Gebonden Engels 2014 2014e druk 9783319081281Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783319081281
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:126
Uitgever:Springer International Publishing
Druk:2014
Hoofdrubriek:Economie, Financieel management
Lezersrecensies
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Inhoudsopgave
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.
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