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One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates

  • Janina Engel
  • Matthias SchererEmail author
  • Leonhard Spiegelberg
Conference paper
Part of the Advances in Intelligent Systems and Computing book series (AISC, volume 456)

Abstract

A new parametric family of high-dimensional , non-exchangeable extreme-value copulas is presented. The construction is based on the Lévy-frailty construction and stems from a subfamily of the Marshall–Olkin distribution. In contrast to the classical Lévy-frailty construction, non-exchangeability is achieved by inhomogeneous trigger-rate parameters. This family is studied with respect to its distributional properties and a sampling algorithm is developed. Moreover, a new estimator for its parameters is given. The estimation strategy consists in minimizing the mean squared error of the underlying Bernstein function and certain strongly consistent estimates thereof.

Keywords

Extreme-value copula Non-exchangeable Lévy-frailty model 

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Copyright information

© Springer International Publishing Switzerland 2017

Authors and Affiliations

  • Janina Engel
    • 1
  • Matthias Scherer
    • 1
    Email author
  • Leonhard Spiegelberg
    • 1
  1. 1.Technische Universität MünchenGarching-HochbrückGermany

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