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Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 38 (2011) 4, pp. 465-482
Persistent link: https://www.econbiz.de/10009340792
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The construction of the claims reserve distribution by means of a semi-Markov backward simulation model
Gismondi, Fulvio; Janssen, Jacques; Manca, Raimondo - In: Annals of actuarial science : publ. by the Institute of … 6 (2012) 1, pp. 23-64
Persistent link: https://www.econbiz.de/10009884628
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Valuing credit default swap in a non-homogeneous semi-Markovian rating based model
D’Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Computational economics 29 (2007) 2, pp. 119-138
Persistent link: https://www.econbiz.de/10007614492