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.
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