Read While You Wait - Get immediate ebook access, if available*, when you order a print book

cover

Semi-Markov Risk Models for Finance, Insurance and Reliability

Authors: Janssen, Jacques, Manca, Raimondo

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-0-387-70730-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA in USD
  • ISBN 978-0-387-70729-7
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Softcover $139.99
price for USA in USD
  • ISBN 978-1-4419-4357-6
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
About this book

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.

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)


Table of contents (9 chapters)

Table of contents (9 chapters)
  • Probability Tools For Stochastic Modelling

    Pages 1-41

    Jacques, Janssen (et al.)

  • Renewal Theory and Markov Chains

    Pages 43-76

    Jacques, Janssen (et al.)

  • Markov Renewal Processes, Semi-Markov Processes and Markov Random Walks

    Pages 77-130

    Jacques, Janssen (et al.)

  • Discrete Time and Reward Smp and their Numerical Treatment

    Pages 131-169

    Jacques, Janssen (et al.)

  • Semi-Markov Extensions of the Black-Scholes Model

    Pages 171-230

    Jacques, Janssen (et al.)

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-0-387-70730-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.99
price for USA in USD
  • ISBN 978-0-387-70729-7
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Softcover $139.99
price for USA in USD
  • ISBN 978-1-4419-4357-6
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Semi-Markov Risk Models for Finance, Insurance and Reliability
Authors
Copyright
2007
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-70730-3
DOI
10.1007/0-387-70730-1
Hardcover ISBN
978-0-387-70729-7
Softcover ISBN
978-1-4419-4357-6
Edition Number
1
Number of Pages
XVIII, 430
Topics

*immediately available upon purchase as print book shipments may be delayed due to the COVID-19 crisis. ebook access is temporary and does not include ownership of the ebook. Only valid for books with an ebook version. Springer Reference Works are not included.