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Semi-Markov Risk Models for Finance, Insurance and Reliability

  • Janssen Jacques
  • Manca Raimondo

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Janssen Jacques, Manca Raimondo
    Pages 1-41
  3. Janssen Jacques, Manca Raimondo
    Pages 43-76
  4. Janssen Jacques, Manca Raimondo
    Pages 131-169
  5. Janssen Jacques, Manca Raimondo
    Pages 171-230
  6. Janssen Jacques, Manca Raimondo
    Pages 231-280
  7. Janssen Jacques, Manca Raimondo
    Pages 281-333
  8. Janssen Jacques, Manca Raimondo
    Pages 335-371
  9. Back Matter
    Pages 407-429

About this book

Introduction

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.

Keywords

Black-Scholes Finance Funds Markov chain Markov model Markov process Markov renewal process Operations Research Random Walk Stochastic model Stochastic modelling modeling renewal theory

Authors and affiliations

  • Janssen Jacques
    • 1
  • Manca Raimondo
    • 2
  1. 1.Solvay Business SchoolBrusselsBelgium
  2. 2.Università di Roma “La Sapienza”Italy

Bibliographic information