Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models

Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models

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 modellin...

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Main Authors: Guglielmo D'Amico, Jacques Janssen, Raimondo Manca
Format: Article
Language:English
Published: Asia University 2012-01-01
Series:Advances in Decision Sciences
Online Access:http://dx.doi.org/10.1155/2012/123635
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spelling doaj-a7b4bc2de743441d9102b5355eee01302020-11-24T21:42:55ZengAsia UniversityAdvances in Decision Sciences2090-33592090-33672012-01-01201210.1155/2012/123635123635Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration ModelsGuglielmo D'Amico0Jacques Janssen1Raimondo Manca2Department of Pharmacy, University “G. d'Annunzio” of Chieti, Via dei Vestini 31, 66013 Chieti, ItalyCESIAF, EURIA, University of Bretagne Occidentale, 6 Avenue L. Gorgeu, CS 93837, 29238 Brest Cedex 3, FranceMEMOTEF Department, University “La Sapienza” of Roma, Via del Castro Laurenziano 9, 00161 Roma, ItalyMonounireducible 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.http://dx.doi.org/10.1155/2012/123635
collection DOAJ
language English
format Article
sources DOAJ
author Guglielmo D'Amico
Jacques Janssen
Raimondo Manca
spellingShingle Guglielmo D'Amico
Jacques Janssen
Raimondo Manca
Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
Advances in Decision Sciences
author_facet Guglielmo D'Amico
Jacques Janssen
Raimondo Manca
author_sort Guglielmo D'Amico
title Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
title_short Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
title_full Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
title_fullStr Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
title_full_unstemmed Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
title_sort monounireducible nonhomogeneous continuous time semi-markov processes applied to rating migration models
publisher Asia University
series Advances in Decision Sciences
issn 2090-3359
2090-3367
publishDate 2012-01-01
description 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.
url http://dx.doi.org/10.1155/2012/123635
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AT jacquesjanssen monounireduciblenonhomogeneouscontinuoustimesemimarkovprocessesappliedtoratingmigrationmodels
AT raimondomanca monounireduciblenonhomogeneouscontinuoustimesemimarkovprocessesappliedtoratingmigrationmodels
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