Títol:
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Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes
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Autor/a:
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Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo; Volpe di Prignano, Ernesto
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Abstract:
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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 semiMarkov 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. |
Matèries:
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-Stochastic cash flows -Insurance contracts -Discrete time backward semi-Markov processes -Reward processes -Homogeneous and non-homogeneous processes |
Drets:
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open access
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Tipus de document:
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Article |
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Uri:
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https://ddd.uab.cat/record/128128
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