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Tychastic Measure of Viability Risk

  • Jean-Pierre Aubin
  • Luxi Chen
  • Olivier Dordan

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Description, Illustration and Comments of the Results

    1. Front Matter
      Pages 1-1
    2. Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 3-25
    3. Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 27-62
    4. Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 63-81
  3. Mathematical Proofs

    1. Front Matter
      Pages 83-83
    2. Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 85-94
    3. Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 95-113
  4. Back Matter
    Pages 115-126

About this book

Introduction

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.

Keywords

Evolutions Under Uncertainty Hedging Exit Time Function Portfolio Hedging Risk Eradication Measure Solvency Capital Requirement Viability Risk

Authors and affiliations

  • Jean-Pierre Aubin
    • 1
  • Luxi Chen
    • 2
  • Olivier Dordan
    • 3
  1. 1.Viabilité, Marchés, Automatique et Décision (VIMADES)ParisFrance
  2. 2.Viabilité, Marchés, Automatique et Décision(VIMADES)ParisFrance
  3. 3.Viabilité, Marchés, Automatique et Décision (VIMADES)ParisFrance

Bibliographic information

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