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Tychastic measure of viability risk
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 wh...
| Autores principales: | , , |
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| Lenguaje: | eng |
| Publicado: |
Springer
2014
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| Materias: | |
| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-08129-8 http://cds.cern.ch/record/1952389 |