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
To view this DRM protected ebook on your desktop or laptop you will need to have Adobe Digital Editions installed. It is a free software. We also strongly recommend that you sign up for an AdobeID at the Adobe website. For more details please see FAQ 1&2. To view this ebook on an iPhone, iPad or Android mobile device you will need the Adobe Digital Editions app, or BlueFire Reader or Txtr app. These are free, too. For more details see this article.
|Size: ||4.4 MB|
|Publisher: ||ISTE Press - Elsevier|
|Date published: || 2016|
|ISBN: ||2370007675951 (DRM-EPUB)|
|Read Aloud: ||not allowed|