Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

Autor: Yuliya Mishura, Olena Ragulina

Jazyk:

Väzba: Pevná

Vydavateľ: ISTE Press Ltd - Elsevier Inc

Dostupnosť: Skladom u dodávateľa

Odosielame za 10-18 dní

168.65 €

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

Informácie o knihe

Autor

Yuliya Mishura, Olena Ragulina

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2016

Stránok

276

EAN

9781785482182

ISBN

1785482181

Enbook ID

13718380

Vydavateľ

ISTE Press Ltd - Elsevier Inc

Hmotnosť

410

Rozmery

152 x 229 x 19

Kompletný popis

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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