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Semi-Markov Risk Models for Finance, Insurance and Reliability

Author: Janssen Jacques; Manca Raimondo
Publisher: New York : Springer, ©2007.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Publication:Springer e-books
Summary:
This book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. 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 and continuing eventually to the most advanced financial tools, particularly in  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Janssen Jacques; Manca Raimondo
ISBN: 1280902396 9781280902390 9786610902392 6610902399 0387707301 9780387707303 9780387707297 0387707298
OCLC Number: 1059016325
Language Note: English.
Notes: Description based upon print version of record.
Description: 1 online resource (444 p.)
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 Janssen Jacques, Manca Raimondo.

Abstract:

This book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. 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 and continuing eventually to the most advanced financial tools, particularly in insurance and in risk-and-ruin theories. Also considered are reliability problems that interact with credit risk theory in finance. 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. Audience This book is intended for applied mathematicians, statisticians, financial intermediaries, actuaries, engineers, operations researchers.

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