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Document type:
Zeitschriftenaufsatz 
Author(s):
Mai, J.-F.; Schenk, S.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Exchangeable exogenous shock models 
Abstract:
We characterize a comprehensive family of d-variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the arguments. Necessary and sufficient conditions on the involved distortions to yield a multivariate distribution function are given. Probabilistically, the attainable set of distribution functions corresponds to a large class of exchangeable exogenous shock models....    »
 
Keywords:
additive process, copula, exogenous shock model, frailty-model, multivariate distribution function 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Bernoulli 
Year:
2016 
Journal volume:
22 (2) 
Pages contribution:
1278-1299 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Mission statement:
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