A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks

Sabrina Mulinacci

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2455-2484

Abstract: Abstract In this paper we study the distributional properties of a vector of lifetimes modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifetimes is assumed, some dependence is allowed between each idiosyncratic shock arrival time and the systemic one. The dependence structure of the resulting distribution is studied through the analysis of its singularity, its associated survival copula function and conditional hazard rates. Finally, some possible applications to actuarial and credit risk financial products are proposed.

Keywords: Marshall-Olkin distribution; Kendall’s distribution function; Kendall’s tau; Systemic risk; Conditional hazard rates; Copula; 62H10; 62N05; 91B05; 91G45 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11009-021-09925-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-021-09925-y

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-021-09925-y

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().