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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| Tipo de documento: | artigo |
| Data de publicação: | 2014 |
| País: | España |
| Recursos: | Universitat Autònoma de Barcelona |
| Repositório: | Dipòsit Digital de Documents de la UAB |
| Idioma: | inglês |
| OAI Identifier: | oai:ddd.uab.cat:128128 |
| Acesso em linha: | https://ddd.uab.cat/record/128128 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Stochastic cash flows Insurance contracts Discrete time backward semi-Markov processes Reward processes Homogeneous and non-homogeneous processes |
| 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 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. |
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