CIID frailty models and implied copulas
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Publication:2849532
DOI10.1007/978-3-642-35407-6_10zbMATH Open1273.62070OpenAlexW2174973046MaRDI QIDQ2849532FDOQ2849532
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
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Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
Cited In (17)
- Hierarchical Archimedean dependence in common shock models
- Generalized Cox model for default times
- Lévy-frailty copulas
- A multivariate default model with spread and event risk
- On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
- 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
- Basket option pricing and implied correlation in a one-factor Lévy model
- Compound joint-life annuity frailty modeling
- 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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