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
Tabla de Contenidos:
  • 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.

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