杭州电子科技大学图书馆书目检索系统

Online Public Access Catalogue

题名/责任者:

Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach Yuliya Mishura,Olena Ragulina

出版发行项:

ISTE Press - Elsevier 2016

ISBN:

9781785482182

载体形态项:

276

翻译题名:

破产概率: 平滑, 界限, 超级鞅法

一般附注:

Hardcover

摘要附注:

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 resultsDetailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these resultsAn excellent supplement to current textbooks and monographs in risk theoryContains a comprehensive list of useful references

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