Semi-markov risk models for finance, insurance and reliability

Jacques Janssen, Raimondo Manca0387707298, 9780387707297, 9780387707303, 0387707301

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.

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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