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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach

Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach

Ragulina, Olena
Mishura, Yuliya

Hardcover

Business GeneralInvesting & FinanceProbability & Statistics

ISBN10: 1785482181
ISBN13: 9781785482182
Publisher: Iste Press - Elsevier
Published: Oct 12 2016
Pages: 276
Weight: 1.27
Height: 0.75 Width: 6.00 Depth: 9.00
Language: English
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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