Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
DOI10.1017/APR.2017.10zbMATH Open1425.60047OpenAlexW3122439405MaRDI QIDQ5233178FDOQ5233178
Authors: Yunpeng Sun, Rafael Mendoza-Arriaga, Vadim Linetsky 
Publication date: 16 September 2019
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/apr.2017.10
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simulationreliabilitydefaultsubordinatorcredit riskfailureMarshall-Olkin multivariate exponential distributionLévy processadditive subordinatordependent lifetime
Processes with independent increments; Lévy processes (60G51) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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Cited In (15)
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
- A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution
- Exogenous shock models: analytical characterization and probabilistic construction
- Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes
- Marshall–Olkin distributions, subordinators, efficient simulation, and applications to credit risk
- Implementing Markovian models for extendible Marshall-Olkin distributions
- Sampling exchangeable and hierarchical Marshall-Olkin distributions
- Linear credit risk models
- Stopping times occurring simultaneously
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- A generalization of Archimedean and Marshall-Olkin copulas family
- Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
- Modeling Dependent Outages of Electric Power Plants
- Multivariate tempered stable additive subordination for financial models
- Title not available (Why is that?)
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