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Paperback Tychastic Measure of Viability Risk Book

ISBN: 3319363042

ISBN13: 9783319363042

Tychastic Measure of Viability Risk

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Format: Paperback

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Book Overview

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...

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