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 wh...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Aubin, Jean-Pierre (Author), Chen, Luxi (Author), Dordan, Olivier (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edition:1st ed. 2014.
Subjects:
Social sciences-Mathematics.
Macroeconomics.
Probabilities.
Finance.
Mathematics in Business, Economics and Finance.
Macroeconomics and Monetary Economics.
Probability Theory.
Financial Economics.
Online Access:Texto Completo
Table 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.

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