Recurrent Event Modeling Based On The Yule Process
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Recurrent Event Modeling Based on the Yule Process
This book presents research work into the reliability of drinking water pipes. The infrastructure of water pipes is susceptible to routine failures, namely leakage or breakage, which occur in an aggregative manner in pipeline networks. Creating strategies for infrastructure asset management requires accurate modeling tools and first-hand experience of what repeated failures can mean in terms of socio-economic and environmental consequences. Devoted to the counting process framework when dealing with this issue, the author presents preliminary basic concepts, particularly the process intensity, as well as basic tools (classical distributions and processes). The introductory material precedes the discussion of several constructs, namely the non-homogeneous birth process, and further as a special case, the linearly extended Yule process (LEYP), and its adaptation to account for selective survival. The practical usefulness of the theoretical results is illustrated with actual water pipe failure data.
Theory and Statistical Applications of Stochastic Processes
This book is concerned with the theory of stochastic processes and the theoretical aspects of statistics for stochastic processes. It combines classic topics such as construction of stochastic processes, associated filtrations, processes with independent increments, Gaussian processes, martingales, Markov properties, continuity and related properties of trajectories with contemporary subjects: integration with respect to Gaussian processes, Itȏ integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation in diffusion models.
Semi-Markov Migration Models for Credit Risk
Author: Guglielmo D'Amico
language: en
Publisher: John Wiley & Sons
Release Date: 2017-06-26
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.