Advances in Decision Sciences
Volume 2012 (2012), Article ID 123635, 12 pages
http://dx.doi.org/10.1155/2012/123635
Research Article

Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models

Guglielmo D'Amico,1 Jacques Janssen,2 and Raimondo Manca3

1Department of Pharmacy, University “G. d'Annunzio” of Chieti, Via dei Vestini 31, 66013 Chieti, Italy
2CESIAF, EURIA, University of Bretagne Occidentale, 6 Avenue L. Gorgeu, CS 93837, 29238 Brest Cedex 3, France
3MEMOTEF Department, University “La Sapienza” of Roma, Via del Castro Laurenziano 9, 00161 Roma, Italy

Received 3 April 2012; Accepted 11 September 2012

Academic Editor: C. D. Lai

Copyright © 2012 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.

Abstract

Monounireducible nonhomogeneous semi- Markov processes are defined and investigated. The mono- unireducible topological structure is a sufficient condition that guarantees the absorption of the semi-Markov process in a state of the process. This situation is of fundamental importance in the modelling of credit rating migrations because permits the derivation of the distribution function of the time of default. An application in credit rating modelling is given in order to illustrate the results.