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Semi-Markov Risk Models for Finance, Insurance and Reliability

  • Book
  • © 2007

Overview

Authors:
  1. Janssen Jacques

    1. Solvay Business School, Brussels, Belgium

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  2. Manca Raimondo

    1. Università di Roma “La Sapienza”, Italy

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Table of contents (9 chapters)

  1. Front Matter

    Pages I-XVII
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  2. Probability Tools For Stochastic Modelling

    • Janssen Jacques, Manca Raimondo
    Pages 1-41

  3. Renewal Theory and Markov Chains

    • Janssen Jacques, Manca Raimondo
    Pages 43-76

  4. Markov Renewal Processes, Semi-Markov Processes and Markov Random Walks

    • Janssen Jacques, Manca Raimondo
    Pages 77-130

  5. Discrete Time and Reward Smp and their Numerical Treatment

    • Janssen Jacques, Manca Raimondo
    Pages 131-169

  6. Semi-Markov Extensions of the Black-Scholes Model

    • Janssen Jacques, Manca Raimondo
    Pages 171-230

  7. Other Semi-Markov Models in Finance and Insurance

    • Janssen Jacques, Manca Raimondo
    Pages 231-280

  8. Insurance Risk Models

    • Janssen Jacques, Manca Raimondo
    Pages 281-333

  9. Reliability and Credit Risk Models

    • Janssen Jacques, Manca Raimondo
    Pages 335-371

  10. Generalised Non-Homogeneous Models for Pension Funds and Manpower Management

    • Janssen Jacques, Manca Raimondo
    Pages 373-406

  11. Back Matter

    Pages 407-429
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Keywords

About this book

This book 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 providing a useful complement to our first book (Janssen and Manca (2006)) which gives a theoretical presentation of semi-Markov theory. However, to help assure the book is self-contained, the first three chapters provide a summary of the basic tools on semi-Markov theory that the reader will need to understand our presentation. For more details, we refer the reader to our first book (Janssen and Manca (2006)) whose notations, definitions and results have been used in these four first chapters. Nowadays, the potential for theoretical models to be used on real-life problems is severely limited if there are no good computer programs to process the relevant data. We therefore systematically propose the basic algorithms so that effective numerical results can be obtained. Another important feature of this book is its presentation of both homogeneous and non-homogeneous models. It is well known that the fundamental structure of many real-life problems is n- homogeneous in time, and the application of homogeneous models to such problems gives, in the best case, only approximated results or, in the worst case, nonsense results.

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)

Authors and Affiliations

  • Solvay Business School, Brussels, Belgium

    Janssen Jacques

  • Università di Roma “La Sapienza”, Italy

    Manca Raimondo

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