In this paper we propose a stochastic model to analyze the time evolution of inequality within an economic system. The classical inequality indices, Herfindahl-Hirschman, Gini and Theil’s entropy, are thereby turned into a dynamic form. We show, by using a simulative approach, how it is...

In this paper a stochastic model for disability insurance contracts is presented. The model is based on a discrete time non-homogeneous semi-Markov process to which the backward recurrence time process is joined. This permits us to study in a more complete way the disability evolution and to...

In this paper we present a methodology for measuring income inequality dynamically within a Markov model of income evolution. The proposed methodology requires knowledge of the evolution of the population and the averages and medians of the incomes in a country and allows the computation of...

In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive equations for the higher order moments of the discount factor...

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a...

We consider the problem of constructing an appropriate multivariate model for the study of the counterparty credit risk in credit rating migration problem. For this financial problem different multivariate Markov chain models were proposed. However the markovian assumption may be inappropriate...