Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications
نویسندگان
چکیده
Recommended by Mark Bebbington 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. Copyright q 2009 Guglielmo D'Amico et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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ورودعنوان ژورنال:
- JAMDS
دوره 2009 شماره
صفحات -
تاریخ انتشار 2009