期刊名称：SORT-Statistics and Operations Research Transactions
印刷版ISSN：2013-8830
出版年度：2014
卷号：38
期号：2
页码：107-138
语种：English
出版社：SORT- Statistics and Operations Research Transactions
摘要：The main aim of this paper is to give a systematization on the stochastic cash flows evolution. The tools that are used for this purpose are discrete time semi-Markov reward processes. The paper is directed not only to semi-Markov researchers but also to a wider public, presenting a full treatment of these tools both in homogeneous and non-homogeneous environment. The main result given in the paper is the natural correspondence of the stochastic cash flows with the semi-Markov reward processes. Indeed, the semi-Markov environment gives the possibility to follow a multi-state random system in which the randomness is not only in the transition to the next state but also in the time of transition. Furthermore, rewards permit the introduction of a financial environment into the model. Considering all these properties, any stochastic cash flow can be naturally modelled by means of semi-Markov reward processes. The backward case offers the possibility of considering in a complete way the duration inside a state of the studied system and this fact can be very useful in the evaluation of insurance contracts
关键词：Stochastic cash flows, insurance contracts, discrete time backward semi-Markov processes, reward processes, homogeneous and non-homogeneous processes
