Related papers: Sibuya copulas
We introduce a novel perspective by linking ordered probabilistic choice to copula theory, a mathematical framework for modeling dependencies in multivariate distributions. Each representation of ordered probabilistic choice behavior can be…
Uncertain information on input parameters of reliability models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables. In numerous real-world…
We suggest three superpositions of COGARCH (supCOGARCH) volatility processes driven by L\'evy processes or L\'evy bases. We investigate second-order properties, jump behaviour, and prove that they exhibit Pareto-like tails. Corresponding…
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…
This paper introduces a new class of observation driven dynamic models. The time evolving parameters are driven by innovations of copula form. The resulting models can be made strictly stationary and the innovation term is typically chosen…
We study the problem of maximizing the probability that (i) an electric component or financial institution $X$ does not default before another component or institution $Y$ and (ii) that $X$ and $Y$ default jointly within the class of all…
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that the portfolio dependence structure is modelled by the Archimedean copula family as opposed to the widely used Gaussian copula. The resulting…
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a…
We study large deviations and rare default clustering events in a dynamic large heterogeneous portfolio of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system…
We show that under some appropriate assumptions, every weak solution (e.g. energetic solution) to a given rate-independent system is of class SBV, or has finite jumps, or is even piecewise $C^1$. Our assumption is essentially imposed on the…
Based on the concept of a L\'evy copula to describe the dependence structure of a multivariate L\'evy process we present a new estimation procedure. We consider a parametric model for the marginal L\'evy processes as well as for the L\'evy…
A new class of copulas based on order statistics was introduced by Baker (2008). Here, further properties of the bivariate and multivariate copulas are described, such as that of likelihood ratio dominance (LRD), and further bivariate…
Stress-strength models are widely used to assess the reliability of systems under uncertain conditions. While most studies assume independence between stress and strength variables, such an assumption may be unrealistic in many practical…
Pair-copula constructions are flexible dependence models that use bivariate copulas as building blocks. In this paper, we use generalized additive models to extend them by allowing covariates effects. Borrowing ideas from a traditionally…
Dependence modeling of multivariate count data has garnered significant attention in recent years. Multivariate elliptical copulas are typically preferred in statistical literature to analyze dependence between repeated measurements of…
In this paper, we construct a bound copula, which can reach both Frechet's lower and upper bounds for perfect positive and negative dependence cases. Since it covers a wide range of dependency and simple for computational purposes, it can…
In biomedical studies, paired survival data arise naturally when two event times are observed within the same subject. Existing statistical models seldom accommodate both cure fractions and complex dependence structures. In this paper, we…
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…