Exchangeable exogenous shock models
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Publication:265306
DOI10.3150/14-BEJ693zbMATH Open1388.62153arXiv1602.01955OpenAlexW2107962815MaRDI QIDQ265306FDOQ265306
Authors: Jan-Frederik Mai, Steffen Schenk, Matthias Scherer 
Publication date: 1 April 2016
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We characterize a comprehensive family of -variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the arguments. Necessary and sufficient conditions on the involved distortions to yield a multivariate distribution function are given. Probabilistically, the attainable set of distribution functions corresponds to a large class of exchangeable exogenous shock models. Besides, the vector of exceedance times of an increasing additive stochastic process across independent exponential trigger variables is shown to constitute an interesting subclass of the considered distributions and yields a second probabilistic model. The alternative construction is illustrated in terms of two examples.
Full work available at URL: https://arxiv.org/abs/1602.01955
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