On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions

Bernhart German, Mai Jan-Frederik and Scherer Matthias
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Bernhart German: Technische Universität München, Parkring 11, 85748 Garching-Hochbrück, Germany
Mai Jan-Frederik: XAIA Investment GmbH, Sonnenstraße 19, 80331 München, Germany
Scherer Matthias: Technische Universität München, Parkring 11, 85748 Garching-Hochbrück, Germany

Dependence Modeling, 2015, vol. 3, issue 1, 18

Abstract: Min-stable multivariate exponential (MSMVE) distributions constitute an important family of distributions, among others due to their relation to extreme-value distributions. Being true multivariate exponential models, they also represent a natural choicewhen modeling default times in credit portfolios. Despite being well-studied on an abstract level, the number of known parametric families is small. Furthermore, for most families only implicit stochastic representations are known. The present paper develops new parametric families of MSMVE distributions in arbitrary dimensions. Furthermore, a convenient stochastic representation is stated for such models, which is helpful with regard to sampling strategies.

Keywords: MSMVE distributions; Bernstein functions; IDT-frailty copulas; IDT processes; extreme-value copulas; 60G70; MSMVE distributions; Bernstein functions; IDT-frailty copulas; IDT processes; extreme-value copulas; 60G70 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:3:y:2015:i:1:p:18:n:3

DOI: 10.1515/demo-2015-0003

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