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Ruin Probabilities : Smoothness, Bounds, Supermartingale Approach (Hardcover) (Yuliya Mishura & Olena

Ruin Probabilities : Smoothness, Bounds, Supermartingale Approach (Hardcover) (Yuliya Mishura & Olena - image 1 of 1

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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
Number of Pages: 276.0
Genre: Business + Money Management, Mathematics
Format: Hardcover
Publisher: Elsevier Science Ltd
Author: Yuliya Mishura & Olena Ragulina
Language: English
Street Date: October 12, 2016
TCIN: 51568321
UPC: 9781785482182
Item Number (DPCI): 248-25-6181

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