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A customer’s utility measure based on the reliability of multi-state systems

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  • Guglielmo D’Amico
  • Giuseppe Di Biase
  • Raimondo Manca

Abstract

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Suggested Citation

  • Guglielmo D’Amico & Giuseppe Di Biase & Raimondo Manca, 2011. "A customer’s utility measure based on the reliability of multi-state systems," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(1), pages 1-20, May.
    • Handle: RePEc:spr:decfin:v:34:y:2011:i:1:p:1-20
    DOI: 10.1007/s10203-010-0105-8
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    References listed on IDEAS

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    1. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
    2. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    3. Guglielmo D’Amico & Jacques Janssen & Raimondo Manca, 2010. "Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models," Methodology and Computing in Applied Probability, Springer, vol. 12(2), pages 215-225, June.
    4. Fredrik Stenberg & Raimondo Manca & Dmitrii Silvestrov, 2007. "An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance," Methodology and Computing in Applied Probability, Springer, vol. 9(4), pages 497-519, December.
    5. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(1), pages 61-69, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Preferences; Utility functions; Accumulated discounted utility; Non-homogeneous semi-Markov processes; Rewards processes; Backward processes; C44; E20;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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