Jacques, Janssen. creator author. Raimondo, Manca. author. SpringerLink (Online service) text xxu 2007 monographic eng

electronic

recurso electrónico

access XVII, 429 p. online resource. 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. 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. by Janssen Jacques, Manca Raimondo. MATHEMATICS FINANCE NUMERICAL ANALYSIS DISTRIBUTION (PROBABILITY THEORY) BANKS AND BANKING MATHEMATICS PROBABILITY THEORY AND STOCHASTIC PROCESSES QUANTITATIVE FINANCE FINANCE /BANKING FINANCIAL ECONOMICS NUMERICAL ANALYSIS 519.2 9780387707303 99780387707303 http://dx.doi.org/10.1007/0-387-70730-1 http://dx.doi.org/10.1007/0-387-70730-1 100301 20260521091933.0 978-0-387-70730-3