Semi-Markov reliability models with recurrence times and credit rating applications
type: Item
instance of: scholarly article
title: Semi-Markov reliability models with recurrence times and credit rating applications
zbMATH Open document ID: 1175.91190
DOI: 10.1155/2009/625712
author: Guglielmo D'Amico
author: Jacques Janssen
author: Raimondo Manca
published in: Journal of Applied Mathematics and Decision Sciences
publication date: 2009-11-23T00:00:00Z
full work available at URL: https://eudml.org/doc/224404
review text: 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.
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60K15
zbMATH DE Number: 5637299
Wikidata QID: Q58646848
MaRDI profile type: Publication
OpenAlex ID: W2141111187
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DBLP publication ID: journals/jamds/DAmicoJM09
description: scientific article; zbMATH DE number 5637299