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  • 1. Biffi, Elena
    et al.
    D'Amico, Guillermo
    Di Biase, G
    Janssen, J
    Manca, Raimondo
    Silvestrov, Dmitrii
    Mälardalen University, School of Education, Culture and Communication.
    Monte Carlo semi-Markov methods  for credit risk migration and Basel II rules II2008In: Journal of Numerical and Applied Mathematics, Vol. 96, p. 59-86Article in journal (Refereed)
  • 2. Biffi, Elena
    et al.
    D'Amigo, Guillermo
    Di Biase, Giuseppe
    Janssen, Jacques
    Manca, Raimondo
    Silvestrov, Dmitrii
    Mälardalen University, School of Education, Culture and Communication.
    Monte Carlo semi-Markov methods  for credit risk migration and Basel II rules. I.2008In: Journal of Numerical and Applied Mathematics, ISSN 0868-6912, Vol. 1, p. 28-58Article in journal (Refereed)
  • 3.
    Stenberg, Fredrik
    et al.
    Mälardalen University, Department of Mathematics and Physics.
    Manca, Raimondo
    Silvestrov, Dmitrii
    An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance2007In: Methodology and Computing in Applied Probability, ISSN 1387-5841, E-ISSN 1573-7713, Vol. 9, no 4, p. 497-519Article in journal (Refereed)
    Abstract [en]

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

  • 4.
    Stenberg, Fredrik
    et al.
    Mälardalen University, Department of Mathematics and Physics.
    Manca, Raimondo
    Silvestrov, Dmitrii
    Discrete Time Backward Semi-Markov Reward Processes and an Application to Disability Insurance ProblemsManuscript (Other academic)
  • 5.
    Stenberg, Fredrik
    et al.
    Mälardalen University, Department of Mathematics and Physics.
    Manca, Raimondo
    Rome University.
    Silvestrov, Dmitrii
    Mälardalen University, Department of Mathematics and Physics.
    SEMI-MARKOV REWARD MODELS FOR DISABILITY INSURANCE2006In: Theory of Stochastic Processes, ISSN 0321-3900, Vol. 12(28), no 3-4, p. 239-254Article in journal (Refereed)
    Abstract [en]

    A semi-Markov model for disability insurance is described. Statisticalevidences of relevance semi-Markov setting are given. High order semiMarkov backward reward models are invented. Applications of these models to profit-risk analysis of disability insurance contracts are considered.

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