3 citations · 7 across the 5 of their papers we have counts for
6 papers
Multi-state models for evaluating conversion options in life insurance
Guglielmo D'Amico, Montserrat Guillen, Raimondo Manca +1
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to…
Reward Algorithms for Semi-Markov Processes
Dmitrii Silvestrov, Raimondo Manca
New algorithms for computing power moments of hitting times and accumulated rewards of hitting type for semi-Markov processes. The algorithms are based on special techniques of seq…
Tornadoes and related damage costs: statistical modeling with a semi-Markov approach
Chiara Corini, Guglielmo D'Amico, Filippo Petroni +2
We propose a statistical approach to tornadoes modeling for predicting and simulating occurrences of tornadoes and accumulated cost distributions over a time interval. This is achi…
Non-homogeneous time convolutions, renewal processes and age dependent mean number of motorcar accidents
Fulvio Gismondi, Jacques Janssen, Raimondo Manca
Non-homogeneous renewal processes are not yet well established. One of the tools necessary for studying these processes is the non-homogeneous time convolution. Renewal theory has…
A Semi-Markov Modulated Interest Rate Model
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
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…
Bivariate Semi-Markov Process for Counterparty Credit Risk
Guglielmo D'Amico, Raimondo Manca, Giovanni Salvi
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 probl…