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dc.contributor.authorGismondi, Fulvio
dc.contributor.authorJanssen, Jacques
dc.contributor.authorManca, Raimondo
dc.contributor.authorVolpe di Prignano, Ernesto
dc.date.accessioned2016-07-06T13:52:52Z
dc.date.available2016-07-06T13:52:52Z
dc.date.issued2014-12
dc.identifier.citationGismondi, 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.issn1696-2281
dc.identifier.urihttp://hdl.handle.net/2117/88559
dc.description.abstractThe 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.extent32 p.
dc.language.isoeng
dc.publisherInstitut d'Estadística de Catalunya
dc.relation.ispartofSORT. 2014, Vol. 38, Núm. 2
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.otherStochastic cash flows
dc.subject.otherinsurance contracts
dc.subject.otherdiscrete time backward semi-Markov processes
dc.subject.otherreward processes
dc.subject.otherhomogeneous and non-homogeneous processes
dc.titleStochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes
dc.typeArticle
dc.description.peerreviewedPeer Reviewed
dc.subject.amsClassificació AMS::60 Probability theory and stochastic processes::60K Special processes
dc.subject.amsClassificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
dc.rights.accessOpen Access
upcommons.citation.publishedtrue
upcommons.citation.publicationNameSORT
upcommons.citation.volume38
upcommons.citation.number2
upcommons.citation.startingPage107
upcommons.citation.endingPage138


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