Benutzer: Gast  Login
Titel:

On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bernhart, G.; Mai, J.-F.; Scherer, M.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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 presen...     »
Stichworte:
MSMVE distributions; Bernstein functions; IDT-frailty copulas; IDT processes; extreme-value copulas
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Dependence Modeling
Jahr:
2015
Heft / Issue:
3
Seitenangaben Beitrag:
29–46
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1515/demo-2015-0003
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX
Versionen