Semi-Markov risk models for finance, insurance and reliability
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...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
New York :
Springer
c2007.
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| Edición: | 1st ed. 2007. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009461037506719 |
| Sumario: | 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. |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (444 p.) |
| Bibliografía: | Includes bibliographical references (p. [407]-422) and index. |
| ISBN: | 9781280902390 9786610902392 9780387707303 |
