Ruin Probabilities : Smoothness, Bounds, Supermartingale Approach
Book Details
Format
Hardback or Cased Book
ISBN-10
1785482181
ISBN-13
9781785482182
Publisher
ISTE Press Ltd - Elsevier Inc
Imprint
ISTE Press Ltd - Elsevier Inc
Country of Manufacture
NL
Country of Publication
GB
Publication Date
Oct 10th, 2016
Print length
276 Pages
Weight
134 grams
Product Classification:
Stochastics
Ksh 21,800.00
Manufactured on Demand
0 in stock
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Quality
Fast
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.
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