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Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

By: Yuliya Mishura,Olena Ragulina

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Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

By: Yuliya Mishura,Olena Ragulina

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 results - Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results - An excellent supplement to current textbooks and monographs in risk theory - Contains a comprehensive list of useful references

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Page Count

278

Publisher

Elsevier

Published Date

ISBN 10

0081020988

ISBN 13

9780081020982

Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

By: Yuliya Mishura,Olena Ragulina

Write a review Read reviews Take a Quiz Solve Book Puzzle

Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

By: Yuliya Mishura,Olena Ragulina

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 results - Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results - An excellent supplement to current textbooks and monographs in risk theory - Contains a comprehensive list of useful references

Average ratings

N/A

5

0%

4

0%

3

0%

2

0%

1

0%

Solve jigsaw puzzle

Age

Page Count

278

Publisher

Elsevier

Published Date

ISBN 10

0081020988

ISBN 13

9780081020982