Jan-Frederik Mai

Available identifiers

zbMath Open mai.jan-frederikMaRDI QIDQ265303

List of research outcomes

Publication	Date of Publication	Type
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence	2024-01-15	Paper
Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes	2023-03-02	Paper
About the exact simulation of bivariate (reciprocal) Archimax copulas	2022-06-24	Paper
Correction	2021-11-15	Paper
Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant	2021-06-22	Paper
The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay	2021-01-14	Paper
The infinite extendibility problem for exchangeable real-valued random vectors	2020-11-03	Paper
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes	2020-10-07	Paper
On the structure of exchangeable extreme-value copulas	2020-09-29	Paper
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case	2020-05-12	Paper
Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence	2020-05-06	Paper
Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property	2020-04-27	Paper
Canonical spectral representation for exchangeable max-stable sequences	2020-02-28	Paper
PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE	2019-11-08	Paper
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws	2019-10-11	Paper
Negative Basis Measurement: Finding the Holy Scale	2018-10-22	Paper
A Multivariate Default Model with Spread and Event Risk	2018-09-11	Paper
Exact simulation of reciprocal Archimedean copulas	2018-07-27	Paper
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios?	2018-06-27	Paper
Extreme-value copulas associated with the expected scaled maximum of independent random variables	2018-05-17	Paper
Simulating Copulas	2017-07-27	Paper
A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution	2017-07-05	Paper
The Mean of Marshall–Olkin-Dependent Exponential Random Variables	2017-07-05	Paper
Two novel characterizations of self-decomposability on the half-line	2017-04-12	Paper
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach	2016-06-09	Paper
An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law	2016-05-13	Paper
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law	2016-05-04	Paper
Exchangeable exogenous shock models	2016-04-01	Paper
Bivariate extreme-value copulas with discrete Pickands dependence measure	2016-01-22	Paper
Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals	2015-07-03	Paper
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions	2015-06-23	Paper
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time	2014-12-17	Paper
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles	2014-11-12	Paper
A note on the Galambos copula and its associated Berstein function	2014-07-04	Paper
What makes dependence modeling challenging? Pitfalls and ways to circumvent them	2014-01-22	Paper
CIID Frailty Models and Implied Copulas	2013-09-20	Paper
Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions	2013-05-13	Paper
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws	2013-03-12	Paper
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications	2013-02-21	Paper
Moment-based estimation of extendible Marshall-Olkin copulas	2013-02-06	Paper
\(H\)-extendible copulas	2012-08-13	Paper
Simulating Copulas	2012-03-12	Paper
Reparameterizing Marshall–Olkin copulas with applications to sampling	2011-02-03	Paper
Constructing hierarchical archimedean copulas with Lévy subordinators	2010-05-05	Paper
The Pickands representation of survival Marshall-Olkin copulas	2010-03-01	Paper
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions	2009-10-01	Paper
A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE	2009-08-03	Paper
Lévy-frailty copulas	2009-06-09	Paper

Research outcomes over time

Doctoral students

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