One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates

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

Titel:: One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates
Dokumenttyp:: Buchbeitrag
Autor(en):: Engel, J.; Scherer, M.; Spiegelberg, L.
Nicht-TUM Koautoren:: ja
Kooperation:: international
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... »
Seitenangaben Beitrag:: 205-212
Buchtitel:: Soft Methods for Data Science
Intellectual Contribution:: Discipline-based Research
Verlag / Institution:: Springer International Publishing
Jahr:: 2017
Reviewed:: ja
Sprache:: en
TUM Einrichtung:: Lehrstuhl für Finanzmathematik
Format:: Text
Peer reviewed:: ja
commissioned:: not commissioned
Interdisziplinarität:: Nein
Leitbild:: ;
Technology:: Nein
Ethics und Sustainability:: Nein
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