现货Ruin Probabilities[9781785482182]

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上海宝山

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作者Mishura, Yuliya ; Ragulina, Olena

出版社Iste Press - Elsevier

ISBN9781785482182

出版时间2016-10

装帧精装

纸张其他

页数276页

正文语种英语

上书时间2023-06-30

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商品描述: 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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