Jacques Janssen,
Raimondo Manca
Semi-Markov Risk Models for Finance, Insurance and Reliability
Gebonden Engels 2007 2007e druk 9780387707297
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful practical text. The 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.
Specificaties
ISBN13:9780387707297
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:430
Uitgever:Springer US
Druk:2007
Lezersrecensies
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Inhoudsopgave
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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