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Homogeneous semi-Markov reliability models for credit risk management*

Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Decisions in Economics and Finance 28 (2006) 2, pp. 79-93

Persistent link: https://www.econbiz.de/10005622543

Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions

Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Computational Economics 38 (2011) 4, pp. 465-481

Persistent link: https://www.econbiz.de/10009401756

Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

Guglielmo D’Amico; Janssen, Jacques; Manca, Raimondo - In: Computational Economics 29 (2007) 2, pp. 119-138

Persistent link: https://www.econbiz.de/10005674192

Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance

Guglielmo D’Amico; Guillen, Montserrat; Manca, Raimondo - Xarxa de Referència en Economia Aplicada (XREAP) - 2012

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a...

Persistent link: https://www.econbiz.de/10010539080

A customer’s utility measure based on the reliability of multi-state systems

Guglielmo D’Amico; Biase, Giuseppe Di; Manca, Raimondo - In: Decisions in Economics and Finance 34 (2011) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10008925599