In this paper we introduce a generalization of the Marshall-Olkin distribution that allows for some dependence among the shock arrival times while it preserves exponentially distributed observed lifetimes: these features make the resulting distribution well suited for credit risk applications. The main result of the paper is that the only Archimedean dependence structure consistent with these requirements is the Gumbel one.

The Gumbel-Marshall-Olkin distribution

Umberto Cherubini;Sabrina Mulinacci
2017

Abstract

In this paper we introduce a generalization of the Marshall-Olkin distribution that allows for some dependence among the shock arrival times while it preserves exponentially distributed observed lifetimes: these features make the resulting distribution well suited for credit risk applications. The main result of the paper is that the only Archimedean dependence structure consistent with these requirements is the Gumbel one.
Copulas and Dependence Models with Applications
21
31
Umberto Cherubini; Sabrina Mulinacci
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/621930
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