Journal of Applied Mathematics and Decision Sciences
Volume 2009 (2009), Article ID 625712, 17 pages
Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications
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
Received 15 May 2009; Accepted 9 September 2009
Academic Editor: Mark Bebbington
Copyright © 2009 Guglielmo D'Amico et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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.