TY  - BOOK
AU  - Aubin,Jean-Pierre
AU  - Chen,Luxi
AU  - Dordan,Olivier
ED  - SpringerLink (Online service)
TI  - Tychastic Measure of Viability Risk
SN  - 9783319081298
AV  - HB135-147 
U1  - 519 23
PY  - 2014///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - Mathematics
KW  - Finance
KW  - Economics, Mathematical
KW  - Probabilities
KW  - Macroeconomics
KW  - Quantitative Finance
KW  - Macroeconomics/Monetary Economics//Financial Economics
KW  - Probability Theory and Stochastic Processes
KW  - Finance, general
N1  - 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
N2  - 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
UR  - http://dx.doi.org/10.1007/978-3-319-08129-8
ER  -