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Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes
Gismondi, Fulvio (Guglielmo Marconi University)
Janssen, Jacques (Universite Libre de Bruxelles. Solvay Business School)
Manca, Raimondo (Sapienza Universita di Roma. Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza)
Volpe di Prignano, Ernesto (Sapienza Universita di Roma. Dipartimento di Metodi e Modelli per l'Economia, il Territorio e la Finanza)

Data: 2014
Resum: 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.
Drets: 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. Creative Commons
Llengua: Anglès
Document: article ; recerca ; publishedVersion
Matèria: Stochastic cash flows ; Insurance contracts ; Discrete time backward semi-Markov processes ; Reward processes ; Homogeneous and non-homogeneous processes
Publicat a: SORT : statistics and operations research transactions, Vol. 38 Núm. 2 (July-December 2014) , p. 107-138, ISSN 1696-2281

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