This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

We consider the problem of constructing an appropriate multivariate model for the study of the counterparty credit risk in credit rating migration problem. For this financial problem different multivariate Markov chain models were proposed. However the markovian assumption may be inappropriate...

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...