Hierarchical Archimedean dependence in common shock models

DOI10.1007/S11009-020-09816-8MaRDI QIDQ2241502zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Sabrina Mulinacci

Publication date 9 November 2021

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-020-09816-8

zbMATH Keywords

systemic riskMarshall-Olkin distributioncommon shock modelshierarchical Archimedean copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A Multivariate Exponential Distribution
• An introduction to copulas.
• Archimedean-based Marshall-Olkin distributions and related dependence structures
• Bivariate distributions with given extreme value attractor
• CIID frailty models and implied copulas
• Characterization of a Marshall-Olkin type class of distributions
• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• Generalized Marshall-Olkin distributions and related bivariate aging properties
• Hierarchies of Archimedean copulas
• Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate generalized Marshall-Olkin distributions and copulas
• Multivariate hierarchical copulas with shocks
• Orthant tail dependence of multivariate extreme value distributions
• Sampling nested Archimedean copulas

Cited in

(1)

• On history-dependent shock models

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