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Mathematics - Quantitative Finance | Tychastic Measure of Viability Risk

Tychastic Measure of Viability Risk

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

2014, XVII, 126 p. 70 illus., 68 illus. in color.

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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.

Content Level » Research

Keywords » Evolutions Under Uncertainty - Hedging Exit Time Function - Portfolio Hedging - Risk Eradication Measure - Solvency Capital Requirement - Viability Risk

Related subjects » Finance & Banking - Financial Economics - Probability Theory and Stochastic Processes - Quantitative Finance

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