Homogeneous semi-Markov reliability models for credit risk management

DOI10.1007/s10203-005-0055-8zbMath1125.91341OpenAlexW1999233640MaRDI QIDQ816444

Raimondo Manca, Guglielmo D'Amico, Jacques Janssen

Publication date: 9 March 2006

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-005-0055-8

Mathematics Subject Classification ID

Reliability, availability, maintenance, inspection in operations research (90B25) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Credit risk (91G40)

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Cites Work

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• Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
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• A computational procedure for the asymptotic analysis of homogeneous semi-Markov processes
• Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
• Regenerative stochastic processes
• Exceptional Paper—Markov Renewal Theory: A Survey
• An Introduction to Credit Risk Modeling
• Markov Renewal Processes with Finitely Many States
• Semi-Markov processes and reliability

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