Ruin Probabilities : Smoothness, Bounds, Supermartingale Approach Hardback
by Yuliya (Head, Department of Probability, Statistics and Actuarial Mathematics, Faculty of M Mishura, Olena (Taras Shevchenko National University of Kyiv, Ukraine) Ragulina
Hardback
Description
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.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:276 pages
- Publisher:ISTE Press Ltd - Elsevier Inc
- Publication Date:10/10/2016
- Category:
- ISBN:9781785482182
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:276 pages
- Publisher:ISTE Press Ltd - Elsevier Inc
- Publication Date:10/10/2016
- Category:
- ISBN:9781785482182