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 atychastic viability measure of riska 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.SIAM Journal on Financial Mathematics, 1, 66a95. doi:10.1137/080743494. HAcrdle, W. ... Profile Books. Mandelbrot, B., aamp; Taleb, N. N. (in Press). Random jump, not random walk. In F. Diebold, N. A. Doherty, R. Herring (Eds.), The known , ... Principles of financial engineering. Massachusetts: Academic Press. Nelson, E.

Title | : | Tychastic Measure of Viability Risk |

Author | : | Jean-Pierre Aubin, Luxi Chen, Olivier Dordan |

Publisher | : | Springer - 2014-08-06 |

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