In this paper, we present a model to describe the evolution of the yield spread by considering the rating evaluation as the determinant of credit spreads. The underlying rating migration process is assumed to be a non-homogeneous discrete time semi-Markov process. We calculate the total sum of...

We propose a semi-Markov modulated interest rate model. We assume that the switching process is a semi-Markov process with finite state space and the modulated process is a diffusive process. Classical models such as those by Vasicek and CIR are generalized.

This book is the result of the fourth International Symposium on Data Analysis held on June 1985 at the Universite Libre de Bruxelles with the help'of the European Institute for Advanced Management. As the preceding ones, the organization of the Symposium started with a call for real life...

In this paper a stochastic model for disability insurance contracts is presented. The model is based on a discrete time non-homogeneous semi-Markov process to which the backward recurrence time process is joined. This permits us to study in a more complete way the disability evolution and to...

In this paper we present a methodology for measuring income inequality dynamically within a Markov model of income evolution. The proposed methodology requires knowledge of the evolution of the population and the averages and medians of the incomes in a country and allows the computation of...