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Martingales and Ruin Probability
Martingales ... y > E{=~7, }E(e. -''x) < 1 ii). zqr) (16) (17) 524 The condit ion i) is true if the fidlure ... P < 1. (19) N~-,:,J{ ....... <,,_<:v 1-[:2, ~_ 17}~T~I)/= 1 B(Y/) Proof: Let D2(x) = c -''~, then ...- 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
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Some Remarks in Statistical Independence and Fractional Age Assumptions
be handled as in Bowers et al. (1986, chapter 8, 17). It is instructive to note, however, tb.at certain ... death is restricted. See Bowers et al. (1986, chapter 17) for details. In general, these probabiUties involve ...- Authors: Gordon E Willmot
- Date: Jan 1996
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Demography>Longevity; Finance & Investments>Risk measurement - Finance & Investments