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A semi-Markov maintenance model with credit rating application.

Authors :
D'Amico, Guglielmo
Source :
IMA Journal of Management Mathematics; Jan2009, Vol. 20 Issue 1, p51-58, 8p, 2 Graphs
Publication Year :
2009

Abstract

The impact of a preventive rating maintenance policy on the rating process is investigated through the definition of a semi-Markov maintenance model with imperfect repair at random times. The results allow us to study the rating migrations process in the transient and the asymptotic case. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
MARKOV processes
STOCHASTIC processes
BRANCHING processes
SELF-similar processes
STOCHASTIC systems

Details

Language :
English
ISSN :
1471678X
Volume :
20
Issue :
1
Database :
Complementary Index
Journal :
IMA Journal of Management Mathematics
Publication Type :
Academic Journal
Accession number :
36151394
Full Text :
https://doi.org/10.1093/imaman/dpn008
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