机读格式显示(MARC)
- 000 01538nam0 2200133 4500
- 020 __ |a 9781785482182 |c CNY952.60
- 242 __ |a 破产概率: 平滑, 界限, 超级鞅法
- 245 __ |a Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach |c Yuliya Mishura,Olena Ragulina
- 260 __ |b ISTE Press - Elsevier |c 2016
- 520 __ |a 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
- 999 __ |a 张瑜,532242463@qq.com,经济学院,学生,硕士