Tychastic Measure of Viability Risk

Abstract : 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.
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Ouvrage (y compris édition critique et traduction)
Springer International Publishing, pp.150, 2014, 978-3-319-08128-1. 〈10.1007/978-3-319-08129-8〉
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https://hal.inria.fr/hal-01055896
Contributeur : Jean-Pierre Aubin <>
Soumis le : mercredi 13 août 2014 - 21:49:07
Dernière modification le : jeudi 11 janvier 2018 - 06:21:22

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Jean-Pierre Aubin, Luxi Chen, Olivier Dordan. Tychastic Measure of Viability Risk. Springer International Publishing, pp.150, 2014, 978-3-319-08128-1. 〈10.1007/978-3-319-08129-8〉. 〈hal-01055896〉

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