Exogenous shock models: analytical characterization and probabilistic construction

Matthias Scherer () and Henrik Sloot ()
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Matthias Scherer: Technische Universität München
Henrik Sloot: Technische Universität München

Metrika: International Journal for Theoretical and Applied Statistics, 2019, vol. 82, issue 8, No 3, 959 pages

Abstract: Abstract A new characterization for survival functions of multivariate failure-times arising in exogenous shock models with non-negative, continuous, and unbounded shocks is presented. These survival functions are the product of their ordered and individually transformed arguments. The involved transformations may depend on the specific order of the arguments and must fulfill a monotonicity condition. Conversely, every survival function of that form can be constructed using an exogenous shock model with independent and non-homogeneous shocks.

Keywords: Exogenous shock model; Fatal shock model; Generalized Marshall–Olkin distribution; Multivariate survival function (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00184-019-00715-8

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