Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications-Reference-Cited by-同舟云学术

Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications

Published:2009-11-19 Issue: Volume:2009 Page:1-17
ISSN:1173-9126
Container-title:Journal of Applied Mathematics and Decision Sciences
language:en
Short-container-title:Journal of Applied Mathematics and Decision Sciences

Author:

D'Amico Guglielmo¹,Janssen Jacques²,Manca Raimondo³

Affiliation:

1. Dipartimento di Scienze del Farmaco, Università “G. D'Annunzio”, Via dei Vestini, 66100 Chieti, Italy

2. jacan and euria Université de Bretagne Occidentale, 6 avenue le Gorgeu, CS 93837, 29238 brest Cedex 3, France

3. Dipartimento di Matematica per le Decisioni Economiche, Università “La Sapienza”, Finanziarie ed Assicurative, Via del Castro Laurenziano 9, 00161 Roma, Italy

Abstract

We show how it is possible to construct efficient duration dependent semi-Markov reliability 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.

Publisher

Hindawi Limited

Subject

Applied Mathematics,Computational Mathematics,Statistics and Probability,General Decision Sciences

Link

http://downloads.hindawi.com/archive/2009/625712.pdf

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