One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates

Engel, J.; Scherer, M.; Spiegelberg, L.

Scherer, M.

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Title:: One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates
Document type:: Buchbeitrag
Author(s):: Engel, J.; Scherer, M.; Spiegelberg, L.
Non-TUM Co-author(s):: ja
Cooperation:: international
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 algorithm is developed. Moreover, a new ... «
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 algorithm... »
Book title:: Soft Methods for Data Science
Intellectual Contribution:: Discipline-based Research
Publisher:: Springer International Publishing
Year:: 2017
Reviewed:: ja
Language:: en
TUM Institution:: Lehrstuhl für Finanzmathematik
Format:: Text
Peer reviewed:: ja
Commissioned:: not commissioned
Technology:: Nein
Interdisciplinarity:: Nein
Mission statement:: ;
Ethics and Sustainability:: Nein
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