3 citations · 3 across the 3 of their papers we have counts for
4 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…
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…