Extreme behavior of multivariate phase-type distributions
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Publication:2384448
DOI10.1016/j.insmatheco.2006.10.016zbMath1125.60047OpenAlexW3122310405MaRDI QIDQ2384448
Alexandru V. Asimit, Bruce L. Jones
Publication date: 21 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13144/1/Asimit_Jones_2006_revised.pdf
copulamultivariate extreme value distributionPickands' representationMarshall-Olkin exponential distributioncomponentwise maxima (minima)
Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05)
Related Items (1)
Cites Work
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- An introduction to copulas. Properties and applications
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