Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach

Name: Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach
Rating: 3 (1 reviews)

Yuliya Mishura · Olena Ragulina

ନଭେମ୍ବର 2016 · Elsevier

3.0

1ଟି ସମୀକ୍ଷା

ଇବୁକ୍

276

ପୃଷ୍ଠାଗୁଡ଼ିକ

ଯୋଗ୍ୟ

ରେଟିଂ ଓ ସମୀକ୍ଷାଗୁଡ଼ିକୁ ଯାଞ୍ଚ କରାଯାଇନାହିଁ ଅଧିକ ଜାଣନ୍ତୁ

ଏହି ଇବୁକ୍ ବିଷୟରେ

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 results - Detailed investigation of the continuity and differentiability of the infinite-horizon and finite-horizon survival probabilities, as well as possible applications of these results - An excellent supplement to current textbooks and monographs in risk theory - Contains a comprehensive list of useful references

ମୂଲ୍ୟାଙ୍କନ ଓ ସମୀକ୍ଷା

3.0

1ଟି ସମୀକ୍ଷା

ଲେଖକଙ୍କ ବିଷୟରେ

Yuliya Mishura is Professor and Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Faculty of Mechanics and Mathematics, Taras Shevchenko National University of Kyiv, Ukraine. Her research interests include stochastic analysis, theory of stochastic processes, stochastic differential equations, numerical schemes, financial mathematics, risk processes, statistics of stochastic processes, and models with long-range dependence.Olena Ragulina is Junior Researcher at the Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, Ukraine Her research interests include actuarial and financial mathematics.

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