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

DOI10.1016/j.laa.2012.11.035zbMath1282.91363OpenAlexW2086212982MaRDI QIDQ1940089

P.-C. G. Vassiliou, Aglaia Vasileiou

Publication date: 5 March 2013

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2012.11.035

zbMATH Keywords

credit ratinginhomogeneous Markov chainsurvival probabilitiesasymptotic behaviour and estimation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Markov renewal processes, semi-Markov processes (60K15) Credit risk (91G40)

Related Items (3)

Fuzzy semi-Markov migration process in credit risk ⋮ Semi-Markov migration process in a stochastic market in credit risk ⋮ Bivariate Semi-Markov Process for Counterparty Credit Risk

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