The Gumbel-Marshall-Olkin distribution

Conference paper

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.

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.Department of StatisticsUniversity of BolognaBolognaItaly

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