Stochastic cash flows modelled by homogeneous and non-homogeneous discrete time backward semi-Markov reward processes
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 o...
| Autores: | , , , |
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| Formato: | artículo |
| Fecha de publicación: | 2014 |
| País: | España |
| Recursos: | Universitat Politècnica de Catalunya (UPC) |
| Repositorio: | UPCommons. Portal del coneixement obert de la UPC |
| Idioma: | inglés |
| OAI Identifier: | oai:upcommons.upc.edu:2117/88559 |
| Acesso em linha: | https://hdl.handle.net/2117/88559 |
| Access Level: | acceso abierto |
| Palavra-chave: | Stochastic cash flows insurance contracts discrete time backward semi-Markov processes reward processes homogeneous and non-homogeneous processes Classificació AMS::60 Probability theory and stochastic processes::60K Special processes Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
| Resumo: | 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 semi-Markov 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 |
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