Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
Keyword(s):
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.
Keyword(s):
2003 ◽
Vol 40
(4)
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pp. 1060-1068
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2003 ◽
Vol 40
(04)
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pp. 1060-1068
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2004 ◽
Vol 41
(3)
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pp. 746-757
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1976 ◽
Vol 8
(03)
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pp. 531-547
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1970 ◽
Vol 7
(02)
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pp. 388-399
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