Semi-Markov Risk Models for Finance, Insurance and Reliability
| Autor: | Jacques Janssen, Raimondo Manca |
|---|---|
| EAN: | 9780387707303 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 15.05.2007 |
| Kategorie: | |
| Schlagworte: | Black-Scholes Finance Funds Markov chain Markov model Markov process Markov renewal process Operations Research Random Walk Stochastic model Stochastic modelling modeling renewal theory |
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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.
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