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Item Details
| Title:
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TYCHASTIC MEASURE OF VIABILITY RISK
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| By: |
Jean-Pierre Aubin, Luxi Chen, Olivier Dordan |
| Format: |
Paperback |
| List price:
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£76.50 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
3319363042 |
| ISBN 13: |
9783319363042 |
| Publisher: |
SPRINGER INTERNATIONAL PUBLISHING AG |
| Pub. date: |
3 August, 2016 |
| Edition: |
Softcover reprint of the original 1st ed. 2014 |
| Pages: |
126 |
| Synopsis: |
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. |
| Illustrations: |
68 Illustrations, color; 2 Illustrations, black and white; XVII, 126 p. 70 |
| Publication: |
Switzerland |
| Imprint: |
Springer International Publishing AG |
| Returns: |
Non-returnable |
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