Tychastic Measure of Viability Risk

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.

List of contents

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.

Summary

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.

Product details

• Authors: Jean-Pierr Aubin, Jean-Pierre Aubin, Lux Chen, Luxi Chen, Olivier Dordan
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2016
• EAN: 9783319363042
• ISBN: 978-3-31-936304-2
• No. of pages: 126
• Dimensions: 155 mm x 8 mm x 235 mm
• Weight: 230 g
• Illustrations: XVII, 126 p. 70 illus., 68 illus. in color.
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > General, dictionaries; B, Finance, macroeconomics, Finance, general, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Mathematics and Statistics, Probability Theory and Stochastic Processes, Financial Economics, Monetary Economics, Probability & statistics, Probabilities, Stochastics, Probability Theory, Economics, Mathematical, Quantitative Finance, Mathematics in Business, Economics and Finance