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

DOI10.1155/2012/123635zbMath1260.60176DBLPjournals/jamds/DAmicoJM12OpenAlexW2136885020WikidataQ58697753 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 processesmodelling of credit rating migrationsmono-unireducible topological structure

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80)

Cites Work

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• 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
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