Ruin Probabilities (ePub)
Smoothness, Bounds, Supermartingale Approach
(Sprache: Englisch)
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...
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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
Autoren-Porträt von Yuliya Mishura, Olena Ragulina
Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.
Bibliographische Angaben
- Autoren: Yuliya Mishura , Olena Ragulina
- 2016, 276 Seiten, Englisch
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0081020988
- ISBN-13: 9780081020982
- Erscheinungsdatum: 08.11.2016
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
eBook Informationen
- Dateiformat: ePub
- Größe: 6.63 MB
- Mit Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
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