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Semi-Markov Risk Models for Finance, Insurance and Reliability

By: Jacques, Janssen [author.].
Contributor(s): Raimondo, Manca [author.] | SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Boston, MA : Springer US, 2007.Description: XVIII, 430 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9780387707303.Subject(s): Mathematics | Business | Management science | Finance | Economics, Mathematical | Numerical analysis | Probabilities | Macroeconomics | Mathematics | Probability Theory and Stochastic Processes | Quantitative Finance | Business and Management, general | Finance, general | Macroeconomics/Monetary Economics//Financial Economics | Numerical AnalysisDDC classification: 519.2 Online resources: Click here to access online
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.
In: Springer eBooksSummary: 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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Item type Current location Call number Status Date due Barcode Item holds
E books E books PK Kelkar Library, IIT Kanpur
Available EBK9205
Total holds: 0

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.

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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