Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
نویسندگان
چکیده
Monounireducible nonhomogeneous semiMarkov processes are defined and investigated. The monounireducible 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.
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ورودعنوان ژورنال:
- ADS
دوره 2012 شماره
صفحات -
تاریخ انتشار 2012