Discrete time non-homogeneous semi-Markov reliability transition credit risk models and the default distribution functions

DOI10.1007/s10614-010-9219-xzbMath1247.91194MaRDI QIDQ656953

Guglielmo D'Amico, Raimondo Manca, Jacques Janssen

Publication date: 13 January 2012

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-010-9219-x

zbMATH Keywords

asymptotic behaviour; non-homogeneity; age index; mono-unireducibility

Mathematics Subject Classification ID

62N05: Reliability and life testing

91G40: Credit risk

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