Semi-Markov Risk Models for Finance, Insurance and Reliability

Softcover Nachdruck of hardcover 1. Auflage 2007
ISBN: 978-1-4419-4357-6
Verlag: Springer US

Buch, Englisch, 430 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 674 g

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.

Zielgruppe

This book is intended for applied mathematicians, statisticians, financial intermediaries, actuaries, engineers, operations researchers.

Autoren/Hrsg.

Manca, Raimondo

Janssen, Jacques

Fachgebiete

• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Operations Research
• Technische Wissenschaften Technik Allgemein Technische Zuverlässigkeit, Sicherheitstechnik
• Mathematik | Informatik Mathematik Stochastik
• Technische Wissenschaften Maschinenbau | Werkstoffkunde Produktionstechnik Zuverlässigkeitstechnik

Inhaltsverzeichnis

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.