Semi-Markov Models in Economics and Insurance

Abstract

This paper is subdivised into three parts: (i) the first gives a short survey of the semi-Markov theory in view to construct the models used in the two following parts (ii) the semi-Markov risk models: in this chapter, we develop the main ideas to build these risk models and we compare them with the classical ones (iii) other semi-Markov models in insurance: here, we show how the consideration of non-homogeneous semi-Markov processes can be used to modelize some social security problems and how the concept of economics environment can lead to semi-Markov risk models.