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. 1.
Mono-unireducible non-homogeneous semi-Markov processes applied to rating migration models / G., D'Amico; J., Janssen; Manca, Raimondo. - In: ADVANCES IN DECISION SCIENCES. - ISSN 2090-3359. - ELETTRONICO. - 2012:(2012), pp. 1-12. [10.1155/2012/123635]
Mono-unireducible non-homogeneous semi-Markov processes applied to rating migration models
MANCA, Raimondo
2012
Abstract
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. 1.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
