Jan-Frederik Mai

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Person:265303

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zbMath Open mai.jan-frederikMaRDI QIDQ265303

List of research outcomes

PublicationDate of PublicationType
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence2024-01-15Paper
Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes2023-03-02Paper
About the exact simulation of bivariate (reciprocal) Archimax copulas2022-06-24Paper
Correction2021-11-15Paper
Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant2021-06-22Paper
The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay2021-01-14Paper
The infinite extendibility problem for exchangeable real-valued random vectors2020-11-03Paper
Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes2020-10-07Paper
On the structure of exchangeable extreme-value copulas2020-09-29Paper
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case2020-05-12Paper
Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence2020-05-06Paper
Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property2020-04-27Paper
Canonical spectral representation for exchangeable max-stable sequences2020-02-28Paper
PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE2019-11-08Paper
Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws2019-10-11Paper
Negative Basis Measurement: Finding the Holy Scale2018-10-22Paper
A Multivariate Default Model with Spread and Event Risk2018-09-11Paper
Exact simulation of reciprocal Archimedean copulas2018-07-27Paper
Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios?2018-06-27Paper
Extreme-value copulas associated with the expected scaled maximum of independent random variables2018-05-17Paper
Simulating Copulas2017-07-27Paper
A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution2017-07-05Paper
The Mean of Marshall–Olkin-Dependent Exponential Random Variables2017-07-05Paper
Two novel characterizations of self-decomposability on the half-line2017-04-12Paper
Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach2016-06-09Paper
An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law2016-05-13Paper
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law2016-05-04Paper
Exchangeable exogenous shock models2016-04-01Paper
Bivariate extreme-value copulas with discrete Pickands dependence measure2016-01-22Paper
Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals2015-07-03Paper
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions2015-06-23Paper
Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time2014-12-17Paper
Extendibility of Marshall-Olkin distributions and inverse Pascal triangles2014-11-12Paper
A note on the Galambos copula and its associated Berstein function2014-07-04Paper
What makes dependence modeling challenging? Pitfalls and ways to circumvent them2014-01-22Paper
CIID Frailty Models and Implied Copulas2013-09-20Paper
Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions2013-05-13Paper
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws2013-03-12Paper
Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications2013-02-21Paper
Moment-based estimation of extendible Marshall-Olkin copulas2013-02-06Paper
\(H\)-extendible copulas2012-08-13Paper
Simulating Copulas2012-03-12Paper
Reparameterizing Marshall–Olkin copulas with applications to sampling2011-02-03Paper
Constructing hierarchical archimedean copulas with Lévy subordinators2010-05-05Paper
The Pickands representation of survival Marshall-Olkin copulas2010-03-01Paper
Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions2009-10-01Paper
A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE2009-08-03Paper
Lévy-frailty copulas2009-06-09Paper

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