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Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach

$175.00
| £141.55 | €167.36 | Ca$237.48 | Au$240.30
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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Ebook Details
Pages: 276
Size: 4.4 MB
Publisher: ISTE Press - Elsevier
Date published:   2016
ISBN: 2370007675951 (DRM-EPUB)
9780081020982 (DRM-PDF)

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This product is listed in the following categories:

Nonfiction > Mathematics > Probability & Statistics
Nonfiction > Business & Economics > Finance
Nonfiction > Business & Economics > Insurance > Risk Assessment & Management

These authors have products in the following categories:

Nonfiction > Mathematics
Nonfiction > Mathematics > Probability & Statistics
Nonfiction > Business & Economics > Finance
Nonfiction > Business & Economics > Insurance > Risk Assessment & Management

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12/04/2016
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