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Tychastic Measure of Viability Risk

  • Book
  • © 2014

Overview

Authors:
  1. Jean-Pierre Aubin

    1. Viabilité, Marchés, Automatique et Décision (VIMADES), Paris, France

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  2. Luxi Chen

    1. Viabilité, Marchés, Automatique et Décision(VIMADES), Paris, France

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    You can also search for this author in PubMed   Google Scholar

  3. Olivier Dordan

    1. Viabilité, Marchés, Automatique et Décision (VIMADES), Paris, France

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Table of contents (5 chapters)

  1. Front Matter

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

    1. Front Matter

      Pages 1-1
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    2. The Viabilist Portfolio Performance and Insurance Approach

      • Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 3-25

    3. Technical and Quantitative Analysis of Tubes

      • Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 27-62

    4. Uncertainty on Uncertainties

      • Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 63-81

  3. Mathematical Proofs

    1. Front Matter

      Pages 83-83
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    2. Why Viability Theory? A Survival Kit

      • Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 85-94

    3. General Viabilist Portfolio Performance and Insurance Problem

      • Jean-Pierre Aubin, Luxi Chen, Olivier Dordan
      Pages 95-113

  4. Back Matter

    Pages 115-126
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Keywords

About this book

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.

Authors and Affiliations

  • Viabilité, Marchés, Automatique et Décision (VIMADES), Paris, France

    Jean-Pierre Aubin

  • Viabilité, Marchés, Automatique et Décision(VIMADES), Paris, France

    Luxi Chen

  • Viabilité, Marchés, Automatique et Décision (VIMADES), Paris, France

    Olivier Dordan

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