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IMA Journal of Management Mathematics Advance Access originally published online on May 21, 2008
IMA Journal of Management Mathematics 2009 20(1):51-58; doi:10.1093/imaman/dpn008
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© The authors 2008. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

A semi-Markov maintenance model with credit rating application

Guglielmo D'Amico{dagger}

Drug Sciences Department, "G. D'Annunzio" University Chieti, Italy

{dagger} Email: g.damico{at}unich.it

Received on 6 December 2006. Accepted on 2 April 2008.

The impact of a preventive rating maintenance policy on the rating process is investigated through the definition of a semi-Markov maintenance model with imperfect repair at random times. The results allow us to study the rating migrations process in the transient and the asymptotic case.

Keywords: credit risk; migration model; reliability


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