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Document type:
Buchbeitrag 
Author(s):
Engel, J.; Scherer, M.; Spiegelberg, L. 
Title:
One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates 
Pages contribution:
205-212 
Abstract:
A new parametric family Engel, Janina of high-dimensional Scherer, Matthias, non-exchangeable extreme-value Spiegelberg, Leonhard copulas is presented. The construction is based on the Lévy-frailty construction and stems from a subfamily of the Marshall–Olkin distribution. In contrast to the classical Lévy-frailty construction, non-exchangeability is achieved by inhomogeneous trigger-rate parameters. This family is studied with respect to its distributional properties and a sampling algorith...    »
 
Book title:
Soft Methods for Data Science 
Publisher:
Springer International Publishing 
Year:
2017 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text