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Semi-Markov Risk Models for Finance, Insurance and Reliability

2007-05-15 Mathematics
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Release : 2007-05-15
Genre : Mathematics
Kind : eBook
Book Rating : 301/5 ( reviews)

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Book Synopsis Semi-Markov Risk Models for Finance, Insurance and Reliability by : Jacques Janssen

Download or read book Semi-Markov Risk Models for Finance, Insurance and Reliability written by Jacques Janssen. This book was released on 2007-05-15. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Semi-Markov Models and Applications

2013-12-01 Mathematics
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Release : 2013-12-01
Genre : Mathematics
Kind : eBook
Book Rating : 885/5 ( reviews)

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Book Synopsis Semi-Markov Models and Applications by : Jacques Janssen

Download or read book Semi-Markov Models and Applications written by Jacques Janssen. This book was released on 2013-12-01. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a selection of papers presented to the Second Inter national Symposium on Semi-Markov Models: Theory and Applications held in Compiegne (France) in December 1998. This international meeting had the same aim as the first one held in Brussels in 1984 : to make, fourteen years later, the state of the art in the field of semi-Markov processes and their applications, bring together researchers in this field and also to stimulate fruitful discussions. The set of the subjects of the papers presented in Compiegne has a lot of similarities with the preceding Symposium; this shows that the main fields of semi-Markov processes are now well established particularly for basic applications in Reliability and Maintenance, Biomedicine, Queue ing, Control processes and production. A growing field is the one of insurance and finance but this is not really a surprising fact as the problem of pricing derivative products represents now a crucial problem in economics and finance. For example, stochastic models can be applied to financial and insur ance models as we have to evaluate the uncertainty of the future market behavior in order, firstly, to propose different measures for important risks such as the interest risk, the risk of default or the risk of catas trophe and secondly, to describe how to act in order to optimize the situation in time. Recently, the concept of VaR (Value at Risk) was "discovered" in portfolio theory enlarging so the fundamental model of Markowitz.

Semi-Markov Migration Models for Credit Risk

2017-06-01 Mathematics
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Release : 2017-06-01
Genre : Mathematics
Kind : eBook
Book Rating : 128/5 ( reviews)

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Book Synopsis Semi-Markov Migration Models for Credit Risk by : Guglielmo D'Amico

Download or read book Semi-Markov Migration Models for Credit Risk written by Guglielmo D'Amico. This book was released on 2017-06-01. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.

Reliability, Risk, and Safety, Three Volume Set

2009-08-20 Technology & Engineering
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Release : 2009-08-20
Genre : Technology & Engineering
Kind : eBook
Book Rating : 758/5 ( reviews)

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Book Synopsis Reliability, Risk, and Safety, Three Volume Set by : Radim Bris

Download or read book Reliability, Risk, and Safety, Three Volume Set written by Radim Bris. This book was released on 2009-08-20. Available in PDF, EPUB and Kindle. Book excerpt: Containing papers presented at the 18th European Safety and Reliability Conference (Esrel 2009) in Prague, Czech Republic, September 2009, Reliability, Risk and Safety Theory and Applications will be of interest for academics and professionals working in a wide range of industrial and governmental sectors, including Aeronautics and Aerospace, Aut

Mathematical Finance

2013-03-07 Mathematics
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Release : 2013-03-07
Genre : Mathematics
Kind : eBook
Book Rating : 413/5 ( reviews)

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Book Synopsis Mathematical Finance by : Jacques Janssen

Download or read book Mathematical Finance written by Jacques Janssen. This book was released on 2013-03-07. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems. This book is addressed to MBA's, Financial Engineers, Applied Mathematicians, Banks, Insurance Companies, and Students of Business School, of Economics, of Applied Mathematics, of Financial Engineering, Banks, and more.

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