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The Gumbel-Marshall-Olkin distribution

In: Copulas and Dependence Models with Applications

Author

Listed:
  • Umberto Cherubini

    (University of Bologna, Department of Statistics)

  • Sabrina Mulinacci

    (University of Bologna, Department of Statistics)

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.

Suggested Citation

  • Umberto Cherubini & Sabrina Mulinacci, 2017. "The Gumbel-Marshall-Olkin distribution," Springer Books, in: Manuel Úbeda Flores & Enrique de Amo Artero & Fabrizio Durante & Juan Fernández Sánchez (ed.), Copulas and Dependence Models with Applications, chapter 0, pages 21-31, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-64221-5_2
    DOI: 10.1007/978-3-319-64221-5_2
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