Hierarchical Archimedean dependence in common shock models
DOI10.1007/S11009-020-09816-8zbMATH Open1477.62123OpenAlexW3049589760MaRDI QIDQ2241502FDOQ2241502
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
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Cites Work
- An introduction to copulas.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Sampling nested Archimedean copulas
- Hierarchies of Archimedean copulas
- A Multivariate Exponential Distribution
- Generalized Marshall-Olkin distributions and related bivariate aging properties
- Bivariate distributions with given extreme value attractor
- Characterization of a Marshall-Olkin type class of distributions
- Orthant tail dependence of multivariate extreme value distributions
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
- Multivariate generalized Marshall-Olkin distributions and copulas
- Multivariate hierarchical copulas with shocks
- CIID frailty models and implied copulas
- Archimedean-based Marshall-Olkin distributions and related dependence structures
- Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution
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