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Tychastic Measure of Viability Risk
| hal.structure.identifier | VIMADES | |
| dc.contributor.author | AUBIN, Jean-Pierre | |
| hal.structure.identifier | VIMADES | |
| dc.contributor.author | CHEN, Luxi | |
| hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
| dc.contributor.author | DORDAN, Olivier | |
| dc.date.accessioned | 2024-04-04T03:20:58Z | |
| dc.date.available | 2024-04-04T03:20:58Z | |
| dc.date.issued | 2014 | |
| dc.identifier.isbn | 978-3-319-08128-1 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194627 | |
| dc.description.abstractEn | 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. | |
| dc.language.iso | en | |
| dc.publisher | Springer International Publishing | |
| dc.title.en | Tychastic Measure of Viability Risk | |
| dc.type | Ouvrage | |
| dc.identifier.doi | 10.1007/978-3-319-08129-8 | |
| dc.subject.hal | Mathématiques [math]/Optimisation et contrôle [math.OC] | |
| dc.description.sponsorshipEurope | Sensitivity Analysis for Deterministic Controller Design | |
| bordeaux.page | 150 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| hal.identifier | hal-01055896 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01055896v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2014&rft.spage=150&rft.epage=150&rft.au=AUBIN,%20Jean-Pierre&CHEN,%20Luxi&DORDAN,%20Olivier&rft.isbn=978-3-319-08128-1&rft.genre=unknown |
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