dc.contributor.author |
Gismondi, Fulvio |
dc.contributor.author |
Janssen, Jacques |
dc.contributor.author |
Manca, Raimondo |
dc.contributor.author |
Volpe di Prignano, Ernesto |
dc.date |
2014 |
dc.identifier |
https://ddd.uab.cat/record/128128 |
dc.identifier |
urn:oai:ddd.uab.cat:128128 |
dc.identifier |
urn:articleid:20138830v38n2p107 |
dc.identifier |
urn:oai:raco.cat:article/284038 |
dc.format |
application/pdf |
dc.language |
eng |
dc.publisher |
|
dc.relation |
SORT : statistics and operations research transactions ; Vol. 38 Núm. 2 (July-December 2014), p. 107-138 |
dc.rights |
open access |
dc.rights |
Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. |
dc.rights |
https://creativecommons.org/licenses/by-nc-nd/3.0/ |
dc.subject |
Stochastic cash flows |
dc.subject |
Insurance contracts |
dc.subject |
Discrete time backward semi-Markov processes |
dc.subject |
Reward processes |
dc.subject |
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.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 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. |