Article ID: | iaor20103089 |
Volume: | 2009 |
Issue: | 1 |
Start Page Number: | 11 |
End Page Number: | 20 |
Publication Date: | Nov 2009 |
Journal: | Journal of Applied Mathematics and Decision Sciences |
Authors: | Janssen Jacques, D'Amico Guglielmo, Manca Raimondo |
Keywords: | markov processes |
We show how it is possible to construct efficient duration dependent semi-Markovreliability models by considering recurrence time processes. We define generalized reliability indexes and we show how it is possible to compute them. Finally, we describe a possible application in the study of credit rating dynamics by considering the credit rating migration as a reliability problem.