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Marshall–Olkin type copulas generated by a global shock

Fabrizio Durante 1 Stéphane Girard 2 Gildas Mazo 3
1 Free University of Bozen-Bolzano
2 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann
3 UCL - Université Catholique de Louvain
Abstract : A way to transform a given copula by means of a univariate function is presented. The resulting copula can be interpreted as the result of a global shock affecting all the components of a system modeled by the original copula. The properties of this copula transformation from the perspective of semi–group action are presented, together with some investigations on the impact on the tail behavior. Finally, the whole methodology is applied to model risk assessment.
Keywords : Shock models Marshall–Olkin distributions Copula
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Submitted on : Friday, October 14, 2016 - 9:14:49 AM
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Fabrizio Durante, Stéphane Girard, Gildas Mazo. Marshall–Olkin type copulas generated by a global shock. Journal of Computational and Applied Mathematics, Elsevier, 2016, 296, pp.638--648. ⟨10.1016/j.cam.2015.10.022⟩. ⟨hal-01138228v2⟩

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