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Tychastic Measure of Viability Risk

Jean-Pierre Aubin, Luxi Chen, Olivier Dordan (Autoren)

Buch | Hardcover

XVII, 126 Seiten

2014 | 2014
Springer International Publishing (Verlag)
978-3-319-08128-1 (ISBN)

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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.

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.

Erscheint lt. Verlag	21.8.2014
Zusatzinfo	XVII, 126 p. 70 illus., 68 illus. in color.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	377 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
Schlagworte	Evolutions Under Uncertainty • Hedging Exit Time Function • Portfolio Hedging • Quantitative Finance • Risk Eradication Measure • Solvency Capital Requirement • Viability Risk
ISBN-10	3-319-08128-4 / 3319081284
ISBN-13	978-3-319-08128-1 / 9783319081281
Zustand	Neuware