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© 2007

Semi-Markov Risk Models for Finance, Insurance and Reliability

Book

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Janssen Jacques, Manca Raimondo
    Pages 1-41
  3. Janssen Jacques, Manca Raimondo
    Pages 43-76
  4. Janssen Jacques, Manca Raimondo
    Pages 131-169
  5. Janssen Jacques, Manca Raimondo
    Pages 171-230
  6. Janssen Jacques, Manca Raimondo
    Pages 231-280
  7. Janssen Jacques, Manca Raimondo
    Pages 281-333
  8. Janssen Jacques, Manca Raimondo
    Pages 335-371
  9. Back Matter
    Pages 407-429

About this book

Introduction

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.

Keywords

Black-Scholes Finance Funds Markov chain Markov model Markov process Markov renewal process Operations Research Random Walk Stochastic model Stochastic modelling modeling renewal theory

Authors and affiliations

  1. 1.Solvay Business SchoolBrusselsBelgium
  2. 2.Università di Roma “La Sapienza”Italy

Bibliographic information

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Reviews

From the reviews:

"The book under review aims to give a complete and self-contained presentation of semi-Markov models with finitely many states, in view of solving real life problems of risk management in three main fields: Finance, Insurance and Reliability. … important feature of this book is its presentation of both homogenous and non-homogenous models. This book addresses a very large public as it includes undergraduate and graduate students in mathematics and applied mathematics, in economics and business studies, actuaries, financial intermediaries, engineers and operation researchers." (Nico G. Gamkrelidze, Zentralblatt MATH, Vol. 1144, 2008)