Advances in Decision Sciences
Volume 2009 (2009), Article ID 625712, 17 pages
doi:10.1155/2009/625712
Semi-Markov reliability models with recurrence times and credit rating applications
Guglielmo D'Amico1
, Jacques Janssen2
and Raimondo Manca3
1Dipartimento di Scienze del Farmaco, Università “G. D'Annunzio”, Via dei Vestini, 66100 Chieti, Italy
2jacan and euria Université de Bretagne Occidentale, 6 avenue le Gorgeu, CS 93837, 29238 brest Cedex 3, France
3Dipartimento di Matematica per le Decisioni Economiche, Università “La Sapienza”, Finanziarie ed Assicurative, Via del Castro Laurenziano 9, 00161 Roma, Italy
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.