Tychastic Measure of Viability Risk / / by Jean-Pierre Aubin, Luxi Chen, Olivier Dordan

• Autore: Aubin Jean-Pierre
• Pubblicazione: Cham : , : Springer International Publishing : , : Imprint : Springer, , 2014
• Edizione: 1st ed. 2014.
• Descrizione fisica: 1 online resource (136 p.)
• Disciplina: 332
• Soggetto topico: Economics, Mathematical ; Macroeconomics; Probabilities; Finance; Quantitative Finance; Macroeconomics/Monetary Economics//Financial Economics; Probability Theory and Stochastic Processes; Finance, general
• Persona (resp. second.): ChenLuxi; DordanOlivier
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and indexes.
• Nota di contenuto: 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.
• Sommario/riassunto: 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.
• Titolo autorizzato: Tychastic Measure of Viability Risk
• ISBN: 3-319-08129-2
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910299967703321
• Lo trovi qui: Univ. Federico II