Semi-Markov reliability models with recurrence times and credit rating applications

Semi-Markov reliability models with recurrence times and credit rating applications

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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: , ,
Keywords: markov processes
Abstract:

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.

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