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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...     »
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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