Semi-Markov reliability models with recurrence times and credit rating applications
Summary: We show how it is possible to construct efficient duration dependent semi-Markov reliability models by considering recurrence time processes. We define generalized reliability indexes and we show how it is possible to compute them. Finally, we describe a possible application in the study of credit rating dynamics by considering the credit rating migration as a reliability problem.
scientific article; zbMATH DE number 5637299
scientific article