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Semi-Markov risk models for finance, insurance and reliability

Author: Jacques Janssen; Raimondo Manca
Publisher: New York : Springer, ©2007.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"This book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. The unique approach of this book is to solve finance and insurance problems with semi-Markov models in a complete way and furthermore present real-life applications of semi-Markov processes." "This book is intended for applied mathematicians, statisticians, financial intermediaries,  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jacques Janssen; Raimondo Manca
ISBN: 9780387707297 0387707298 9780387707303 0387707301
OCLC Number: 141384136
Description: xvii, 429 pages : illustrations ; 25 cm
Contents: Probability Tools For Stochastic Modelling.- Renewal Theory and Markov Chains.- Markov Renewal Processes, Semi-Markov Processes and Markov Random Walks.- Discrete Time and Reward Smp and their Numerical Treatment.- Semi-Markov Extensions of the Black-Scholes Model.- Other Semi-Markov Models in Finance and Insurance.- Insurance Risk Models.- Reliability and Credit Risk Models.- Generalised Non-Homogeneous Models for Pension Funds and Manpower Management.
Responsibility: by Jacques Janssen, Raimondo Manca.
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Abstract:

After a presentation of the main probabilistic tools necessary for understanding of the book, the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition  Read more...

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From the reviews:"The book under review aims to give a complete and self-contained presentation of semi-Markov models with finitely many states, in view of solving real life problems of risk Read more...

 
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