Article ID Journal Published Year Pages File Type
1151612 Statistics & Probability Letters 2016 7 Pages PDF
Abstract

A new characterization of the Marshall–Olkin distribution is provided: all sub-vectors of the associated survival indicators are continuous-time Markov chains. This property is crucial to overcome practical limitations for the modeling of high-dimensional default times (rebalancing, iterative simulation, consistent sub-portfolios).

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall–Olkin law
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