Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk (Q5233178)
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scientific article; zbMATH DE number 7105409
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| English | Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk |
scientific article; zbMATH DE number 7105409 |
Statements
Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk (English)
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16 September 2019
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Marshall-Olkin multivariate exponential distribution
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Lévy process
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additive subordinator
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subordinator
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simulation
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dependent lifetime
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failure
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default
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reliability
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credit risk
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0.7936062216758728
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0.7920060157775879
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0.7439695596694946
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0.742345929145813
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0.7145949602127075
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