Articoli correlati a Tychastic Measure of Viability Risk

Tychastic Measure of Viability Risk - Rilegato

Aubin, Jean-Pierre; Chen, Luxi; Dordan, Olivier

 
9783319081281: Tychastic Measure of Viability Risk

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.