Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models (Q1929893): Difference between revisions
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Latest revision as of 06:51, 13 November 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models |
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Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models (English)
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10 January 2013
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Summary: Mono-unireducible nonhomogeneous semi-Markov processes are defined and investigated. To have a mono-unireducible topological structure is a sufficient condition that guarantees the absorption of the semi-Markov process in a state of the process. This situation is of fundamental importance in the modelling of credit rating migrations because permits the derivation of the distribution function of the time of default. An application in credit rating modelling is given in order to illustrate the results.
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semi-Markov processes
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mono-unireducible topological structure
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modelling of credit rating migrations
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