AUBIN, Jean-Pierre; CHEN, Luxi; DORDAN, Olivier

doi:10.1007/978-3-319-08129-8

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AUBIN, Jean-Pierre
VIMADES

CHEN, Luxi
VIMADES

DORDAN, Olivier
Institut de Mathématiques de Bordeaux [IMB]

Langue

Ouvrage

Ce document a été publié dans

2014p. 150

Springer International Publishing

Résumé en anglais

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.< Réduire