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Tychastic Measure of Viability Risk

Tychastic Measure of Viability Risk

Hardcover

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 3319081284
ISBN13: 9783319081281
Publisher: Springer Nature
Published: Aug 21 2014
Pages: 126
Weight: 0.84
Height: 0.38 Width: 6.14 Depth: 9.21
Language: English
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.

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