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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Mai, J.-F.; Scherer, M. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time 
Abstract:
We present a stochastic representation for multivariate extendible distributions with exponential minima (exEM), whose components are conditionally iid in the sense of de Finetti's theorem. It is shown that the "exponential minima property" is in one-to-one correspondence with the conditional cumulative hazard rate process being time-consistent infinitely divisible (TCID). The Laplace exponents of non- decreasing TCID processes are given in terms of a Bernstein function applied to the state vari...    »
 
Stichworte:
Distribution with exponential minima; MSMVE distribution; extreme-value copula; TCID process; Bernstein function; de Finetti's theorem. 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Extremes 
Jahr:
2014 
Band / Volume:
17 
Heft / Issue:
Seitenangaben Beitrag:
77-95 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein