Ruin Probabilities e-bog
1167,65 DKK
(inkl. moms 1459,56 DKK)
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 ...
E-bog
1167,65 DKK
Forlag
ISTE Press - Elsevier
Udgivet
8 november 2016
Længde
276 sider
Genrer
PBWL
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9780081020982
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