Semi-markov Risk Models For Finance, Insurance And Reliability.

Semi-markov Risk Models For Finance, Insurance And Reliability

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ISBN details

  • ISBN 10: 0387707298
  • ISBN 13: 9780387707297


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.


This book is intended for applied mathematicians, statisticians, financial intermediaries, actuaries, engineers, operations researchers.

Other Details

  • Publisher: Springer
  • Language: Eng
  • Edition: 2007
  • Pages: 430
  • Date Published: 2007
  • Authors: Jacques Janssen, Raimondo Manca