Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications

Guglielmo D'Amico, Jacques Janssen, Raimondo Manca
2009 Journal of Applied Mathematics and Decision Sciences  
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.
doi:10.1155/2009/625712 fatcat:x524kxpzvffmlmuak2bazqghoe