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 differ...
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| Format: | eBook |
| Language: | English |
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[Place of publication not identified] :
Elsevier,
2016.
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| Online Access: | Connect to the full text of this electronic book |
| Summary: | 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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| Physical Description: | 1 online resource |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9780081020982 0081020988 |