Semi-Markov Risk Models for Finance, Insurance and Reliability

• Main Authors: Jacques, Janssen (Author), Raimondo, Manca (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US, 2007.
• Subjects: Mathematics.; Business.; Management science.; Finance.; Economics, Mathematical.; Numerical analysis.; Probabilities.; Macroeconomics.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Business and Management, general.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Numerical Analysis.

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...

Table of 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.