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2015 | 3 | 1 |

Tytuł artykułu

On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

Treść / Zawartość

Warianty tytułu

Języki publikacji

EN

Abstrakty

EN
Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper develops new parametric families of MSMVE distributions in arbitrary dimensions. Furthermore, a convenient stochastic representation is stated for such models, which is helpful with regard to sampling strategies.

Wydawca

Czasopismo

Rocznik

Tom

3

Numer

1

Opis fizyczny

Daty

otrzymano
2015-01-13
zaakceptowano
2015-05-07
online
2015-05-22

Twórcy

  • Technische Universität München, Parkring 11, 85748 Garching-Hochbrück, Germany
  • XAIA Investment GmbH, Sonnenstraße 19, 80331 München, Germany
  • Technische Universität München, Parkring 11, 85748 Garching-Hochbrück, Germany

Bibliografia

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Typ dokumentu

Bibliografia

Identyfikatory

Identyfikator YADDA

bwmeta1.element.doi-10_1515_demo-2015-0003
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