Tychastic Measure of Viability Risk

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Economics, Macroeconomics
Cover of the book Tychastic Measure of Viability Risk by Luxi Chen, Jean-Pierre Aubin, Olivier Dordan, Springer International Publishing
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Author: Luxi Chen, Jean-Pierre Aubin, Olivier Dordan ISBN: 9783319081298
Publisher: Springer International Publishing Publication: August 6, 2014
Imprint: Springer Language: English
Author: Luxi Chen, Jean-Pierre Aubin, Olivier Dordan
ISBN: 9783319081298
Publisher: Springer International Publishing
Publication: August 6, 2014
Imprint: Springer
Language: English

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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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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