Jacques Janssen
University of Western Brittany
10 Papers
98 Citations
Jacques Janssen is an academic researcher from University of Western Brittany. The author has contributed to research in topics: Markov chain & Markov model. The author has an hindex of 6, co-authored 10 publications. Previous affiliations of Jacques Janssen include Université libre de Bruxelles.
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Papers
Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models
TL;DR: In this paper, it is shown how it is possible to take into account simultaneously backward and forward processes at beginning and at the end of the time in which the credit risk model is observed.
Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions
TL;DR: In this paper, the authors proposed a semi-Markov process with an age index to model the credit risk problem, where the default state is seen as a non working state and the distribution function of the waiting time before a transition can be of any type and without the strong constraints of the Markov model.
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Semi-Markov Reliability Models with Recurrence Times and Credit Rating Applications
TL;DR: It is shown how it is possible to construct efficient duration dependent semi-Markov reliability models by considering recurrence time processes and a possible application in the study of credit rating dynamics by considering the credit rating migration as a reliability problem is described.
Non-homogeneous time convolutions, renewal processes and age-dependent mean number of motorcar accidents
TL;DR: In this paper, the authors define the non-homogeneous time convolutions and try to give order to the nonhomogeneous renewal processes, and a real data application to an aspect of motor car insurance is proposed.
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