CIID Frailty Models and Implied Copulas

DOI10.1007/978-3-642-35407-6_10zbMath1273.62070OpenAlexW2174973046MaRDI QIDQ2849532

Rudi Zagst, Matthias Scherer, Jan-Frederik Mai

Publication date: 20 September 2013

Published in: Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35407-6_10

zbMATH Keywords

stochastic frameworkmultivariate frailty modelportfolio default models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (13)

Dependent defaults and losses with factor copula models ⋮ A Multivariate Default Model with Spread and Event Risk ⋮ On the measure induced by copulas that are invariant under univariate truncation ⋮ Shot-noise driven multivariate default models ⋮ Generalized Cox model for default times ⋮ Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications ⋮ A Marshall-Olkin type multivariate model with underlying dependent shocks ⋮ Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas ⋮ Archimedean-based Marshall-Olkin distributions and related dependence structures ⋮ Hierarchical Archimedean dependence in common shock models ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions ⋮ Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution

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