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

DOI10.1016/j.laa.2012.11.035zbMath1282.91363MaRDI 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 rating; inhomogeneous Markov chain; survival probabilities; asymptotic behaviour and estimation

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

60K15: Markov renewal processes, semi-Markov processes

91G40: Credit risk

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