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References listed on IDEAS
- Frahm, Gabriel, 2006. "On the extremal dependence coefficient of multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1470-1481, August.
- Friedrich Schmid & Rafael Schmidt, 2007. "Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 66(3), pages 323-354, November.
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Cited by:
- Beer, Simone & Braun, Alexander & Marugg, Andrin, 2019. "Pricing industry loss warranties in a Lévy–Frailty framework," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 171-181.
- Paul Ressel, 2013. "Finite Exchangeability, Lévy-Frailty Copulas and Higher-Order Monotonic Sequences," Journal of Theoretical Probability, Springer, vol. 26(3), pages 666-675, September.
- Baglioni, Angelo & Cherubini, Umberto, 2013. "Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1581-1597.
- Shenkman, Natalia, 2017. "A natural parametrization of multivariate distributions with limited memory," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 234-251.
- Brigo, Damiano & Mai, Jan-Frederik & Scherer, Matthias, 2016. "Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 60-66.
- Mai, Jan-Frederik & Scherer, Matthias, 2010. "The Pickands representation of survival Marshall-Olkin copulas," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 357-360, March.
- Fabrizio Durante & Marius Hofert & Matthias Scherer, 2010. "Multivariate Hierarchical Copulas with Shocks," Methodology and Computing in Applied Probability, Springer, vol. 12(4), pages 681-694, December.
- Mai, Jan-Frederik, 2018. "Extreme-value copulas associated with the expected scaled maximum of independent random variables," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 50-61.
- Mai, Jan-Frederik & Scherer, Matthias, 2012. "H-extendible copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 151-160.
- Mai Jan-Frederik, 2014. "A note on the Galambos copula and its associated Bernstein function," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, March.
- Ressel, Paul, 2011. "Monotonicity properties of multivariate distribution and survival functions -- With an application to Lévy-frailty copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 393-404, March.
- Durante, Fabrizio & Fernández Sánchez, Juan & Trutschnig, Wolfgang, 2014. "Multivariate copulas with hairpin support," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 323-334.
- Jan-Frederik Mai & Steffen Schenk & Matthias Scherer, 2017. "Two Novel Characterizations of Self-Decomposability on the Half-Line," Journal of Theoretical Probability, Springer, vol. 30(1), pages 365-383, March.
- Mai Jan-Frederik, 2020. "The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay," Dependence Modeling, De Gruyter, vol. 8(1), pages 210-220, January.
- Nadarajah, Saralees, 2015. "Expansions for bivariate copulas," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 77-84.
- Mai, Jan-Frederik & Scherer, Matthias & Shenkman, Natalia, 2013. "Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 457-480.
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More about this item
Keywords
Extreme-value copula Marshall-Olkin copula Archimedean copula Completely monotone sequence Lévy subordinator;Statistics
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