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Tychastic Measure of Viability Risk (Hardcover, 2014 ed.) Loot Price: R1,927
Discovery Miles 19 270
You Save: R812 (30%)
Tychastic Measure of Viability Risk (Hardcover, 2014 ed.): Jean-Pierre Aubin, Lu Xichen, Olivier Dordan

Tychastic Measure of Viability Risk (Hardcover, 2014 ed.)

Jean-Pierre Aubin, Lu Xichen, Olivier Dordan

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List price R2,739 Loot Price R1,927 Discovery Miles 19 270 | Repayment Terms: R181 pm x 12* You Save R812 (30%)

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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.

General

Imprint: Springer International Publishing AG
Country of origin: Switzerland
Release date: August 2014
First published: 2014
Authors: Jean-Pierre Aubin • Lu Xichen • Olivier Dordan
Dimensions: 235 x 155 x 10mm (L x W x T)
Format: Hardcover
Pages: 126
Edition: 2014 ed.
ISBN-13: 978-3-319-08128-1
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
Books > Business & Economics > Economics > Macroeconomics > Monetary economics
Books > Business & Economics > Finance & accounting > Finance > General
Books > Money & Finance > General
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LSN: 3-319-08128-4
Barcode: 9783319081281

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