Download PDF by Yuliya Mishura,Olena Ragulina: Ruin Probabilities: Smoothness, Bounds, Supermartingale

By Yuliya Mishura,Olena Ragulina

Ruin percentages: Smoothness, Bounds, Supermartingale Approach offers with continuous-time probability versions and covers a number of elements of probability conception. the 1st of them is the smoothness of the survival chances. particularly, the e-book offers a close research of the continuity and differentiability of the infinite-horizon and finite-horizon survival chances for various possibility types. subsequent, it provides a few attainable purposes of the consequences in regards to the smoothness of the survival chances. also, the ebook introduces the supermartingale method, which generalizes the martingale one brought by way of Gerber, to get top exponential bounds for the infinite-horizon wreck percentages in a few generalizations of the classical chance version with dicy investments.

  • Provides new unique results
  • Detailed research of the continuity and differentiability of the infinite-horizon and finite-horizon survival possibilities, in addition to attainable purposes of those results
  • An first-class complement to present textbooks and monographs in chance theory
  • Contains a complete record of priceless references

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


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