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Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach
Yuliya Mishura; Olena Ragulina (Author)
·
Iste Pr Elsevier
· Hardcover
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach - Yuliya Mishura; Olena Ragulina
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Synopsis "Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach"
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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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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