Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

Nonfiction, Science & Nature, Mathematics, Probability, Statistics
Cover of the book Ruin Probabilities by Yuliya Mishura, Olena Ragulina, Elsevier Science
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Yuliya Mishura, Olena Ragulina ISBN: 9780081020982
Publisher: Elsevier Science Publication: November 8, 2016
Imprint: ISTE Press - Elsevier Language: English
Author: Yuliya Mishura, Olena Ragulina
ISBN: 9780081020982
Publisher: Elsevier Science
Publication: November 8, 2016
Imprint: ISTE Press - Elsevier
Language: English

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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Elsevier Science

Cover of the book Advances in Marine Biology by Yuliya Mishura, Olena Ragulina
Cover of the book Wireless Communications Design Handbook by Yuliya Mishura, Olena Ragulina
Cover of the book Thermal Solar Desalination by Yuliya Mishura, Olena Ragulina
Cover of the book An Introduction to Bibliometrics by Yuliya Mishura, Olena Ragulina
Cover of the book Stealing The Network by Yuliya Mishura, Olena Ragulina
Cover of the book Advances in Imaging and Electron Physics by Yuliya Mishura, Olena Ragulina
Cover of the book CdTe and Related Compounds; Physics, Defects, Hetero- and Nano-structures, Crystal Growth, Surfaces and Applications by Yuliya Mishura, Olena Ragulina
Cover of the book Essentials of Noncoding RNA in Neuroscience by Yuliya Mishura, Olena Ragulina
Cover of the book Advanced Trading Rules by Yuliya Mishura, Olena Ragulina
Cover of the book Missile Guidance and Pursuit by Yuliya Mishura, Olena Ragulina
Cover of the book Handbook of Flotation Reagents: Chemistry, Theory and Practice by Yuliya Mishura, Olena Ragulina
Cover of the book Introduction to Enhanced Recovery Methods for Heavy Oil and Tar Sands by Yuliya Mishura, Olena Ragulina
Cover of the book Business Continuity from Preparedness to Recovery by Yuliya Mishura, Olena Ragulina
Cover of the book Digital Signal Processing 101 by Yuliya Mishura, Olena Ragulina
Cover of the book Well Test Analysis by Yuliya Mishura, Olena Ragulina
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy