Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach (Hardcover) (ISBN-13: 9781785482182)

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.

Author: Yuliya Mishura,Olena Ragulina
ISBN-10: 1785482181
ISBN-13: 9781785482182
Publisher: Iste Press - Elsevier
Language: English
Published: 10/12/2016
Pages: 276
Format: Hardcover
Weight: 1.27lbs
Size: 9.00h x 6.00w x 0.75d