The frailty and the Archimedean structure of the general multivariate Pareto distributions

zbMATH Open1132.62037MaRDI QIDQ5446155FDOQ5446155

Authors: Hsiaw-Chan Yeh 

Publication date: 6 March 2008

Recommendations

• The frailty and the Archimedean structure of the general multivariate Pareto distributions
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• The Generalized Marshall–Olkin Type Multivariate Pareto Distributions
• Multivariate survival distributions

zbMATH Keywords

Laplace transformfrailty modelKendall's \(\tau\)Archimedean generator\(k\)-variate survival copulasClayton family

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Survival analysis and censored data (62N99)

Cited In (5)

• The frailty and the Archimedean structure of the general multivariate Pareto distributions
• Copulas checker-type approximations: application to quantiles estimation of sums of dependent random variables
• High level quantile approximations of sums of risks
• Impact of dependence on some multivariate risk indicators
• Explicit ruin formulas for models with dependence among risks

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