Semi-Markov risk models for finance, insurance and reliability

著者

• Janssen, Jacques
• Manca, Raimondo

書誌事項

Semi-Markov risk models for finance, insurance and reliability

by Jacques Janssen, Raimondo Manca

Springer, c2010

注記

Includes bibliographical references (p. [407]-422) and index

内容説明・目次

内容説明

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.

目次

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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詳細情報

• NII書誌ID(NCID): BB07241844
• ISBN:
  • 9781441943576
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: New York
• ページ数/冊数: xvii, 429 p.
• 大きさ: 24 cm
• 分類:
  • SG : 510
• 件名:
  • LCSH : Financial risk -- Mathematical models
  • LCSH : Risk (Insurance) -- Mathematical models
  • LCSH : Risk -- Mathematical models
  • LCSH : Markov processes