Semi-Markov Risk Models for Finance, Insurance and Reliability
| Autor: | Janssen, Jacques Manca, Raimondo |
|---|---|
| EAN: | 9780387707297 |
| Auflage: | 2007 |
| Sachgruppe: | Mathematik |
| Sprache: | Englisch |
| Seitenzahl: | 430 |
| Produktart: | Gebunden |
| Veröffentlichungsdatum: | 26.03.2007 |
| Schlagworte: | Mathematics |
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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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