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Ruin Probabilities

Smoothness, Bounds, Supermartingale Approach

1st Edition - October 10, 2016

Authors: Yuliya Mishura, Olena Ragulina

Language: English
Hardback ISBN:
9 7 8 - 1 - 7 8 5 4 8 - 2 1 8 - 2
eBook ISBN:
9 7 8 - 0 - 0 8 - 1 0 2 0 9 8 - 2

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 smooth… Read more

Ruin Probabilities

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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.