Tychastic measure of viability risk

著者

• Aubin, Jean Pierre
• Chen, Luxi
• Dordan, Olivier

書誌事項

Tychastic measure of viability risk

Jean-Pierre Aubin, Luxi Chen, Olivier Dordan

Springer, c2014

注記

Includes bibliographical references (p. 115-122) and indexes

内容説明・目次

内容説明

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.

目次

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.

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詳細情報

• NII書誌ID(NCID): BB19076009
• ISBN:
  • 9783319081281
• 出版国コード: sz
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Cham
• ページ数/冊数: xvii, 126 p.
• 大きさ: 25 cm
• 分類:
  • DC23 : 332.6
• 件名:
  • LCSH : Capital investments -- Mathematical models
  • LCSH : Financial risk -- Mathematical models
  • LCSH : Hedging (Finance)
  • LCSH : Feasability studies