Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk

DOI10.1017/apr.2017.10zbMath1425.60047OpenAlexW3122439405MaRDI QIDQ5233178

Vadim Linetsky, Rafael Mendoza-Arriaga, Yunpeng Sun

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2017.10

zbMATH Keywords

defaultsimulationreliabilitysubordinatorLévy processfailurecredit riskMarshall-Olkin multivariate exponential distributionadditive subordinatordependent lifetime

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (12)

Multivariate tempered stable additive subordination for financial models ⋮ A generalization of Archimedean and Marshall-Olkin copulas family ⋮ Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence ⋮ Implementing Markovian models for extendible Marshall-Olkin distributions ⋮ Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Unnamed Item ⋮ Modeling Dependent Outages of Electric Power Plants ⋮ Linear credit risk models ⋮ Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk ⋮ Exogenous shock models: analytical characterization and probabilistic construction ⋮ A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution

Uses Software

• Ziggurat
• rnorrexp

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