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Title:

Exchangeable exogenous shock models

Document type:
Zeitschriftenaufsatz
Author(s):
Mai, J.-F.; Schenk, S.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
-
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
Fulltext / DOI:
doi:10.3150/14-BEJ693
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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