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An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward
Mälardalen University, Department of Mathematics and Physics.
University of Rome "La Sapienza", Italy.
Mälardalen University, Department of Mathematics and Physics.ORCID iD: 0000-0002-2626-5598
2007 (English)In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 9, no 4, p. 497-519Article in journal (Refereed) Published
Abstract [en]

In this paper semi-Markov reward models are presented. Higher moments of the reward process are presented for the first time and applied to in time non-homogeneous semi-Markov insurance problems. Also an example is presented based on real disability data. Different algorithmic approaches to solve the problem is described.

Place, publisher, year, edition, pages
2007. Vol. 9, no 4, p. 497-519
Keywords [en]
Semi-Markov reward process, higher moment, disability insurance
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:mdh:diva-3415DOI: 10.1007/s11009-006-9012-4ISI: 000249951800003Scopus ID: 2-s2.0-35148839909OAI: oai:DiVA.org:mdh-3415DiVA, id: diva2:116079
Available from: 2008-02-29 Created: 2008-02-29 Last updated: 2017-12-14Bibliographically approved

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Silvestrov, Dmitrii

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