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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...     »
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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