Semi-Markov Risk Models for Finance, Insurance and Reliability

✍ Scribed by Jacques Janssen, Raimondo Manca

• Publisher: Springer
• Year: 2007
• Tongue: English
• Leaves: 440
• Edition: 1
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

front-matter......Page 1
1Probability Tools For Stochastic Modelling......Page 16
2Renewal Theory and Markov Chains......Page 57
3Markov Renewal Processes, Semi-Markov Processes and Markov Random Walks......Page 91
4Discrete Time and Reward Smp and their Numerical Treatment......Page 145
5Semi-Markov Extensions of the Black-Scholes Model......Page 184
6Other Semi-Markov Models in Finance and Insurance......Page 244
7Insurance Risk Models......Page 294
8Reliability and Credit Risk Models......Page 347
9Generalised Non-Homogeneous Models for Pension Funds and Manpower Management......Page 384
back-matter......Page 418