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 |
Tabla de Contenidos:
- 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.
