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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
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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
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Semi-Markov risk models for finance, insurance and reliability
Janssen, Jacques; Manca, Raimondo - 2007
Persistent link: https://www.econbiz.de/10003408642
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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
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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
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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
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Stochastic methods for pension funds
Devolder, Pierre; Janssen, Jacques; Manca, Raimondo - 2012
Persistent link: https://www.econbiz.de/10009426686
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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
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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
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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