The Gumbel-Marshall-Olkin distribution

Umberto Cherubini () and Sabrina Mulinacci ()
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Umberto Cherubini: University of Bologna, Department of Statistics
Sabrina Mulinacci: University of Bologna, Department of Statistics

Chapter Chapter 2 in Copulas and Dependence Models with Applications, 2017, pp 21-31 from Springer

Abstract: 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.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-64221-5_2

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DOI: 10.1007/978-3-319-64221-5_2

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