Related papers: Marshall-Olkin exponential shock model covering al…
The aim of this paper, is to define a bivariate exponentiated generalized linear exponential distribution based on Marshall-Olkin shock model. Statistical and reliability properties of this distribution are discussed. This includes…
Almost seventy years old Marshall-Olkin copulas, then wider Marshall copulas, and finally even wider shock model (SM) copulas constitute a substantial part of nowadays copula theory due to numerous applications. Recently, Christian Genest…
A new four-parameter model called the Marshall-Olkin extended generalized Gompertz distribution is introduced. Its hazard rate function can be constant, increasing, decreasing, upside-down bathtub or bathtub-shaped depending on its…
Copula models have become popular in different applications, including modeling shocks, in view of their ability to describe better the dependence concepts in stochastic systems. The class of maxmin copulas was recently introduced by…
The Marshall-Olkin (MO) distribution has been considered a key model in reliability theory and in risk analysis, where it is used to model the lifetimes of dependent components or entities of a system and dependency is induced by "shocks"…
We introduce a class of continuous-time bivariate phase-type distributions for modeling dependencies from common shocks. The construction uses continuous-time Markov processes that evolve identically until an internal common-shock event,…
We propose a generalized extreme shock model with a possibly increasing failure threshold. While standard models assume that the crucial threshold for the system may only decrease over time, because of weakening shocks and obsolescence, we…
The significance of Marshall-Olkin distribution in reliability theory has motivated us to introduce a generalized exponentiated Marshall-Olkin (GEMO), a family of distributions.
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical…
In this paper, we introduce a new class of bivariate distributions called the bivariate exponentiated extended Weibull distributions. The model introduced here is of Marshall-Olkin type. This new class of bivariate distributions contains…
We characterize a comprehensive family of $d$-variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the…
Multi-dimensional data frequently occur in many different fields, including risk management, insurance, biology, environmental sciences, and many more. In analyzing multivariate data, it is imperative that the underlying modelling…
The paper is concerned with common shock models of claim triangles. These are usually constructed as a linear combinations of shock components and idiosyncratic components. Previous literature has discussed the unbalanced property of such…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
This paper introduces a new generalization of the flexible Weibull distribution with three parameters this model called the Marshall-Olkin flexible Weibull extension (MO-FWE) distribution which exhibits bathtub-shaped hazard rate. We…
There are numerous applications which involve modeling multi-dimensional count data, notably in actuarial science and risk management. When such data exhibit an excess of zeros, common count models are no longer suitable. With multivariate…
One of the important problem in reliability analysis is computation of stress-strength reliability. But it is impractical to compute it in certain situations. So the estimation stay as an alternative solution to get an approximate value of…
In this work we use matrix models to study the problem of strength distributions. This is motivated by noticing near exponential fall offs of strengths in calculated magnetic dipole excitations. We emphasize that the quality of the…
Elastomers are viscoelastic materials and their properties significantly depend on the loading rate. The actual stress experienced by these materials is the sum of equilibrium and dissipative (inelastic) terms. At very low loading rates we…
We propose a new methodology based on the Marshall-Olkin (MO) copula to model cross-border systemic risk. The proposed framework estimates the impact of the systematic and idiosyncratic components on systemic risk. Initially, we propose a…