Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law

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• 作者：Damiano Brigo^a ; ^{damiano.brigo@imperial.ac.uk" class="auth_mail" title="E-mail the corresponding author} ; Jan-Frederik Mai^b ; ¹ ; ^{jan-frederik.mai@xaia.com" class="auth_mail" title="E-mail the corresponding author} ; Matthias Scherer^c ; ^{scherer@tum.de" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60E07 ; 62H05 ; 62H20 ; 62H99
• 刊名：Statistics & Probability Letters
• 出版年：2016
• 出版时间：July 2016
• 年：2016
• 卷：114
• 期：Complete
• 页码：60-66
• 全文大小：382 K

文摘

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).