Semi-Markov Risk Models for Finance, Insurance and Reliability
Raimondo Manca, Jacques Janssen
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Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
Beschreibung
Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful practical text. The 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.
Kundenbewertungen
Markov process, Markov chain, Finance, Markov model, Funds, renewal theory, Stochastic modelling, quantitative finance, Random Walk, Markov renewal process, modeling, Stochastic model, Black-Scholes, Operations Research