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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Bernhart, G.; Mai, J.-F.; Scherer, M. 
Titel:
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions 
Abstract:
Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The pr...    »
 
Stichworte:
MSMVE distributions; Bernstein functions; IDT-frailty copulas; IDT processes; extreme-value copulas 
Zeitschriftentitel:
Dependence Modeling 
Jahr:
2015 
Heft / Issue:
Seitenangaben Beitrag:
29–46 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik