Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
Joint Authors
Manca, Raimondo
D'Amico, Guglielmo
Janssen, Jacques
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-10-16
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
Monounireducible nonhomogeneous semi- Markov processes are defined and investigated.
The 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.
American Psychological Association (APA)
D'Amico, Guglielmo& Janssen, Jacques& Manca, Raimondo. 2012. Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models. Advances in Decision Sciences،Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-447428
Modern Language Association (MLA)
D'Amico, Guglielmo…[et al.]. Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models. Advances in Decision Sciences No. 2012 (2012), pp.1-12.
https://search.emarefa.net/detail/BIM-447428
American Medical Association (AMA)
D'Amico, Guglielmo& Janssen, Jacques& Manca, Raimondo. Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models. Advances in Decision Sciences. 2012. Vol. 2012, no. 2012, pp.1-12.
https://search.emarefa.net/detail/BIM-447428
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-447428
