Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications. (29th October 2009)

• Record Type: Journal Article
• Authors: D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo
• Other Names: Bebbington Mark Academic Editor.
• Is Part Of: Journal of applied mathematics & decision sciences. Volume 2009(2009)
• Publication Date: 2009-10-29
• Subjects: Operations research -- Periodicals; Mathematical models -- Periodicals; Statistics -- Periodicals; Quality control -- Periodicals; Mathematical models; Operations research; Quality control; Statistics; Periodicals; 519.05
• DOI: 10.1155/2009/625712
• Languages: English
• ISSNs: 1173-9126

Abstract

Abstract : 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.