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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| Otros Autores: | , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
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Cham :
Springer International Publishing
2014.
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| Colección: | Springer eBooks.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b32919062*spi |
| Sumario: | 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 ztychastic viability measure of risky 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. |
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| Descripción Física: | XVII, 126 p., 70 il., 68 il. col |
| Formato: | Forma de acceso: World Wide Web. |
| ISBN: | 9783319081298 |
