E-Book Overview
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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SEMI-MARKOV RISK MODELS FOR FINANCE, INSURANCE AND RELIABILITY SEMI-MARKOV RISK MODELS FOR FINANCE, INSURANCE AND RELIABILITY By JACQUES JANSSEN Solvay Business School, Brussels, Belgium RAIMONDO MANCA Università di Roma “La Sapienza,” Italy Library of Congress Control Number: 2006940397 ISBN-10: 0-387-70729-8 e-ISBN: 0-387-70730-1 ISBN-13: 978-0-387-70729-7 Printed on acid-free paper. AMS Subject Classifications: 60K15, 60K20, 65C50, 90B25, 91B28, 91B30 © 2007 Springer Science+Business Media, LLC All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if