Tychastic Measure of Viability Risk

Softcover Nachdruck of the original 1. Auflage 2014
ISBN: 978-3-319-36304-2
Verlag: Springer International Publishing

Buch, Englisch, 126 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 2292 g

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.

Zielgruppe

Research

Autoren/Hrsg.

Aubin, Jean-Pierre

Dordan, Olivier

Chen, Luxi

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

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.