Semi-Markov Risk Models for Finance, Insurance and Reliability

Beschreibung:

Suitable for those working in related fields from applied mathematicians to statisticians to actuaries and operations researchers, this book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. Num Pages: 448 pages, biography. BIC Classification: KF; PBWL. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 25. Weight in Grams: 802. . 2007. Hardback. . . . . Books ship from the US and Ireland. Bestandsnummer des Verkäufers V9780387707297

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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.