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Semi-Markov reliability models with recurrence times and credit rating applications. (English) Zbl 1175.91190

Summary: 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.

MSC:

91G40 Credit risk
60K15 Markov renewal processes, semi-Markov processes
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