CIID frailty models and implied copulas

DOI10.1007/978-3-642-35407-6_10MaRDI QIDQ2849532zbMATH OpenOpenAlexFDO

Authors Jan-Frederik Mai, Matthias Scherer, R. Zagst

Publication date 20 September 2013

Published in Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35407-6_10

zbMATH Keywords

multivariate frailty modelstochastic frameworkportfolio default models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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Cited in

(17)

• Hierarchical Archimedean dependence in common shock models
• Lévy-frailty copulas
• Generalized Cox model for default times
• On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
• A multivariate default model with spread and event risk
• Dependent defaults and losses with factor copula models
• On the measure induced by copulas that are invariant under univariate truncation
• Marshall–Olkin Machinery and Power Mixing: The Mixed Generalized Marshall–Olkin Distribution
• Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications
• Compound joint-life annuity frailty modeling
• Basket option pricing and implied correlation in a one-factor Lévy model
• Copula-frailty models for recurrent event data based on Monte Carlo EM algorithm
• A Marshall-Olkin type multivariate model with underlying dependent shocks
• Archimedean-based Marshall-Olkin distributions and related dependence structures
• Dual-frailty default intensity model: estimations and an application
• Shot-noise driven multivariate default models
• Monotonicity properties of multivariate distribution and survival functions -- with an application to Lévy-frailty copulas

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