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Martingales and Ruin Probability
exponential and non-exponential bounds for the tail probability of various compound distributions have been ... it was suggested that non-exponential bounds for the ruin probability were difficult to obtain using martingale ...- Authors: Gordon E Willmot, Hailiang Yang
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models