Mostra el registre d'ítem simple
Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes
dc.contributor.author | Gismondi, Fulvio |
dc.contributor.author | Janssen, Jacques |
dc.contributor.author | Manca, Raimondo |
dc.contributor.author | Volpe di Prignano, Ernesto |
dc.date.accessioned | 2016-07-06T13:52:52Z |
dc.date.available | 2016-07-06T13:52:52Z |
dc.date.issued | 2014-12 |
dc.identifier.citation | Gismondi, Fulvio [et al.]. Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes. "SORT", Desembre 2014, vol. 38, núm. 2, p. 107-138. |
dc.identifier.issn | 1696-2281 |
dc.identifier.uri | http://hdl.handle.net/2117/88559 |
dc.description.abstract | The main aim of this paper is to give a systematization on the stochastic cash flows evolution. The tools that are used for this purpose are discrete time semi-Markov reward processes. The paper is directed not only to semi-Markov researchers but also to a wider public, presenting a full treatment of these tools both in homogeneous and non-homogeneous environment. The main result given in the paper is the natural correspondence of the stochastic cash flows with the semi-Markov reward processes. Indeed, the semi-Markov environment gives the possibility to follow a multi-state random system in which the randomness is not only in the transition to the next state but also in the time of transition. Furthermore, rewards permit the introduction of a financial environment into the model. Considering all these properties, any stochastic cash flow can be naturally modelled by means of semi-Markov reward processes. The backward case offers the possibility of considering in a complete way the duration inside a state of the studied system and this fact can be very useful in the evaluation of insurance contracts |
dc.format.extent | 32 p. |
dc.language.iso | eng |
dc.publisher | Institut d'Estadística de Catalunya |
dc.relation.ispartof | SORT. 2014, Vol. 38, Núm. 2 |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject.other | Stochastic cash flows |
dc.subject.other | insurance contracts |
dc.subject.other | discrete time backward semi-Markov processes |
dc.subject.other | reward processes |
dc.subject.other | homogeneous and non-homogeneous processes |
dc.title | Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes |
dc.type | Article |
dc.description.peerreviewed | Peer Reviewed |
dc.subject.ams | Classificació AMS::60 Probability theory and stochastic processes::60K Special processes |
dc.subject.ams | Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics |
dc.rights.access | Open Access |
local.citation.publicationName | SORT |
local.citation.volume | 38 |
local.citation.number | 2 |
local.citation.startingPage | 107 |
local.citation.endingPage | 138 |