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Mathematical finance : deterministic and stochastic models

Janssen, Jacques; Manca, Raimondo; Volpe di Prignano, … - 2009

Persistent link: https://www.econbiz.de/10003757925

The dynamic behaviour of non-homogeneous single-unireducible Markov and semi-Markov chains

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Networks, topology and dynamics : theory and …, (pp. 195-211). 2009

Persistent link: https://www.econbiz.de/10003774325

Semi-Markov risk models for finance, insurance and reliability

Janssen, Jacques; Manca, Raimondo - 2007

Persistent link: https://www.econbiz.de/10003408642

Homogeneous and non-homogeneous semi-Markov backward credit risk migration models

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Financial hedging, (pp. 3-55). 2009

Persistent link: https://www.econbiz.de/10008799134

A non-homogeneous semi-Markov reward model for the credit spread computation

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 221-238

Persistent link: https://www.econbiz.de/10008992173

Discrete time non-homogeneous semi-markov reliability transition credit risk models and the default distribution functions

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-481

Persistent link: https://www.econbiz.de/10009356876

Stochastic methods for pension funds

Devolder, Pierre; Janssen, Jacques; Manca, Raimondo - 2012

Persistent link: https://www.econbiz.de/10009426686

The construction of the claims reserve distribution by means of a semi-Markov backward simulation model

Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo - In: Annals of actuarial science : publ. by the Institute of … 6 (2012) 1, pp. 23-64

Persistent link: https://www.econbiz.de/10009488931

Asset and liability management for banks and insurance companies

Habart-Corlosquet, Marine; Janssen, Jacques; Manca, Raimondo - 2015

This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to...

Persistent link: https://www.econbiz.de/10011375576

Non-homogeneous time convolutions, renewal processes and age-dependent mean number of motorcar accidents

Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 1, pp. 36-57

Persistent link: https://www.econbiz.de/10011299200