Monounireducible nonhomogeneous continuous time semi-Markov processes applied to rating migration models

DOI10.1155/2012/123635zbMath1260.60176WikidataQ58697753 ScholiaQ58697753MaRDI QIDQ1929893

Guglielmo D'Amico, Raimondo Manca, Jacques Janssen

Publication date: 10 January 2013

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://www.openaccessrepository.it/record/47926

zbMATH Keywords

semi-Markov processes; modelling of credit rating migrations; mono-unireducible topological structure

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

91G80: Financial applications of other theories

Cites Work

• Homogeneous semi-Markov reliability models for credit risk management
• Initial and final backward and forward discrete time non-homogeneous semi-Markov credit risk models
• Semi-Markov reliability models with recurrence times and credit rating applications
• Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
• Semi-Markov Risk Models for Finance, Insurance and Reliability
• The Dynamic Behaviour of Non-Homogeneous Single-Unireducible Markov and Semi-Markov Chains
• Credit Risk Modeling
• An inhomogeneous semi-Markov model for the term structure of credit risk spreads
• Limit Theorems for Semi-Markov Processes
• Markov renewal theory
• Semi-Markov processes and reliability
• Unnamed Item
• Unnamed Item
• Unnamed Item