Semi-Markov Risk Models for Finance, Insurance and Reliability

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Janssen, Jacques (Autor), Manca, Raimondo (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer US : Imprint: Springer, 2007.
Edición:1st ed. 2007.
Temas:
Probabilities.
Social sciences-Mathematics.
Business.
Management science.
Finance.
Macroeconomics.
Numerical analysis.
Probability Theory.
Mathematics in Business, Economics and Finance.
Business and Management.
Financial Economics.
Macroeconomics and Monetary Economics.
Numerical Analysis.
Acceso en línea:Texto Completo
Descripción
Sumario: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.
Descripción Física:XVIII, 430 p. online resource.
ISBN:9780387707303

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