TY  - BOOK
AU  - Jacques,Janssen
AU  - Raimondo,Manca
ED  - SpringerLink (Online service)
TI  - Semi-Markov Risk Models for Finance, Insurance and Reliability
SN  - 9780387707303
U1  - 519.2 23
PY  - 2007///
CY  - Boston, MA
PB  - Springer US
KW  - MATHEMATICS
KW  - FINANCE
KW  - NUMERICAL ANALYSIS
KW  - DISTRIBUTION (PROBABILITY THEORY)
KW  - BANKS AND BANKING
KW  - PROBABILITY THEORY AND STOCHASTIC PROCESSES
KW  - QUANTITATIVE FINANCE
KW  - FINANCE /BANKING
KW  - FINANCIAL ECONOMICS
N1  - 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
N2  - 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
UR  - http://dx.doi.org/10.1007/0-387-70730-1
ER  -