Singular components of shock model copulas

DOI10.1016/J.CAM.2021.113749MaRDI QIDQ2229937zbMATH OpenOpenAlexFDO

Authors M. Omladič, T. Košir

Publication date 17 September 2021

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2021.113749

zbMATH Keywords

copulasurvival analysisdependence conceptsshock modelstransformations of distribution functionsmax and min copulas

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Reliability and life testing (62N05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15)

Recommendations

• On the singular components of a copula
• Some multivariate imprecise shock model copulas
• Multivariate hierarchical copulas with shocks
• Shock models with dependence and asymmetric linkages
• Extreme generators of shock induced copulas

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• Copulas based on Marshall-Olkin machinery
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• On some properties of reflected maxmin copulas
• On the singular components of a copula
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• Semilinear copulas
• Shock models with dependence and asymmetric linkages
• Shock models with recovery option via the maxmin copulas
• Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
• Simulating from the copula that generates the maximal probability for a joint default under given (Inhomogeneous) marginals
• Stochastic ordering properties for systems with dependent identically distributed components

Cited in

(16)

• On some properties of reflected maxmin copulas
• Non-exchangeability of copulas arising from shock models
• On the singular components of a copula
• Shock models with dependence and asymmetric linkages
• Singular shocks: retrospective and prospective
• Multivariate hierarchical copulas with shocks
• Reflected maxmin copulas and modeling quadrant subindependence
• Parameterized transformations and truncation: when is the result a copula?
• Singular mixture copulas
• Marshall-Olkin type copulas generated by a global shock
• Extreme generators of shock induced copulas
• Asymmetric linkages: maxmin vs. reflected maxmin copulas
• Some multivariate imprecise shock model copulas
• Some extensions of singular mixture copulas
• Shock models with recovery option via the maxmin copulas
• A typical copula is singular

Describes a project that uses

Uses Software

• CopulaModel
• Mathematica

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