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

Guglielmo D’Amico | Zendy; Jacques Janssen | Zendy; Raimondo Manca | Zendy

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

Author(s) -

Guglielmo D’Amico,

Jacques Janssen,

Raimondo Manca

Publication year - 2012

Publication title -

advances in decision sciences

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.178

H-Index - 13

eISSN - 2090-3367

pISSN - 2090-3359

DOI - 10.1155/2012/123635

Subject(s) - markov chain , markov process , order (exchange) , markov renewal process , process (computing) , computer science , markov model , econometrics , distribution (mathematics) , credit rating , function (biology) , markov property , mathematics , mathematical optimization , statistics , economics , actuarial science , finance , machine learning , mathematical analysis , biology , evolutionary biology , operating system

Monounireducible nonhomogeneous semi-Markov processes are defined and investigated. The mono-unireducible topological structure is a sufficient conditionthat guarantees the absorption of the semi-Markov processin a state of the process. This situation is of fundamentalimportance in the modelling of credit rating migrations because permits the derivation of the distribution function ofthe time of default. An application in credit rating modelling is given in order to illustrate the results

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