Semi-Markov Risk Models for Finance, Insurance and Reliability by Jacques Jansse

Description: Semi-Markov Risk Models for Finance, Insurance and Reliability by Jacques Janssen, Raimondo Manca 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. FORMAT Hardcover LANGUAGE English CONDITION Brand New Publisher Description 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. Notes Unique approach solves finance and insurance problems with semi-Markov models in a complete wayIncludes highly relevant real-life applications of semi-Markov processes Back Cover 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. Author Biography Jacques Janssen is a professor at the Solvay Business School in Brussels, Belgium, and a director at Jacan Insurance and Finance Services. He is also chairman of the International Applied Stochastic Models and Data Analysis committee. Raimondo Manca is a professor of mathematics for economics at the University of Rome-La Sapienza. Ernesto Volpe is a professor of financial mathematics at the University of Rome-La Sapienza. Table of Contents Probability Tools For Stochastic Modelling.- Renewal Theory and Markov Chains.- Markov Renewal Processes, Semi-Markov Processes and Markov Random Walks.- Discrete Time and Reward Smp and their Numerical Treatment.- Semi-Markov Extensions of the Black-Scholes Model.- Other Semi-Markov Models in Finance and Insurance.- Insurance Risk Models.- Reliability and Credit Risk Models.- Generalised Non-Homogeneous Models for Pension Funds and Manpower Management. Review 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) Long Description 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. Review Quote 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) Feature Unique approach solves finance and insurance problems with semi-Markov models in a complete way Includes highly relevant real-life applications of semi-Markov processes Details ISBN0387707298 Author Raimondo Manca Short Title SEMI-MARKOV RISK MODELS FOR FI Language English ISBN-10 0387707298 ISBN-13 9780387707297 Media Book Format Hardcover Year 2007 Imprint Springer-Verlag New York Inc. Place of Publication New York, NY Country of Publication United States Pages 430 DOI 10.1604/9780387707297;10.1007/0-387-70730-1 AU Release Date 2007-03-26 NZ Release Date 2007-03-26 US Release Date 2007-03-26 UK Release Date 2007-03-26 Publisher Springer-Verlag New York Inc. Edition Description 2007 ed. Edition 2007th Publication Date 2007-03-26 Alternative 9781441943576 DEWEY 332.01 Illustrations XVIII, 430 p. Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. 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