Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

Autor: Yuliya Mishura, Olena Ragulina

Limbă:

Legare: Copertă tare

Editura: ISTE Press Ltd - Elsevier Inc

Disponibilitate: În depozitul extern

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Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk mod...

Informații despre carte

Autor

Yuliya Mishura, Olena Ragulina

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2016

Pagini

276

EAN

9781785482182

ISBN

1785482181

Enbook ID

13718380

Editura

ISTE Press Ltd - Elsevier Inc

Greutate

410

Dimensiuni

152 x 229 x 19

Descriere completă

Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach deals with continuous-time risk models and covers several aspects of risk theory. The first of them is the smoothness of the survival probabilities. In particular, the book provides a detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities for different risk models. Next, it gives some possible applications of the results concerning the smoothness of the survival probabilities. Additionally, the book introduces the supermartingale approach, which generalizes the martingale one introduced by Gerber, to get upper exponential bounds for the infinite-horizon ruin probabilities in some generalizations of the classical risk model with risky investments. Provides new original resultsDetailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these resultsAn excellent supplement to current textbooks and monographs in risk theoryContains a comprehensive list of useful references

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Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

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