Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk

Author:

Vassiliou P.-C.G.,Vasileiou Aglaia

Publisher

Elsevier BV

Subject

Discrete Mathematics and Combinatorics,Geometry and Topology,Numerical Analysis,Algebra and Number Theory

Reference68 articles.

1. Statistical inference about Markov chains;Anderson;Ann. Math. Statist.,1957

2. Discrete time semi-Markov model for reliability and survival analysis;Barbu;Comm. Statist. Theory Methods,2004

3. Empirical estimation for discrete-time semi-Markov processes with application in reliability;Barbu;J. Nonparametr. Statist.,2006

4. Non-negative Matrices in the Mathematical Sciences;Belman,1979

5. Risk-Neutral Valuation;Bingham,1998

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