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)
Date: |
2014 |
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. |
Rights: |
Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, 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. |
Language: |
Anglès |
Document: |
Article ; recerca ; Versió publicada |
Subject: |
Stochastic cash flows ;
Insurance contracts ;
Discrete time backward semi-Markov processes ;
Reward processes ;
Homogeneous and non-homogeneous processes |
Published in: |
SORT : statistics and operations research transactions, Vol. 38 Núm. 2 (July-December 2014) , p. 107-138, ISSN 2013-8830 |
Adreça alternativa: https://raco.cat/index.php/SORT/article/view/284038
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Record created 2015-01-14, last modified 2024-05-25