Ruin Probabilities : Smoothness, Bounds, Supermartingale Approach

by Olena Ragulina , Yuliya Mishura

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

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Ksh 21,800.00

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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.

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