A new extreme value copula and new families of univariate distributions based on Freund’s exponential model

16995 7 92957 2 269428 document 92957 [23002298 - Dependence Modeling] A new extreme value copula and new families of univariate distributions based on Freund’s exponential model.pdf application/pdf 70e91ca83863e7875ae6bf3508bd92b5 MD5 1985995 2021-01-14 08:14:58 https://pure.iiasa.ac.at/id/eprint/16995/1/%5B23002298%20-%20Dependence%20Modeling%5D%20A%20new%20extreme%20value%20copula%20and%20new%20families%20of%20univariate%20distributions%20based%20on%20Freund%E2%80%99s%20exponential%20model.pdf 16995 1 1 application/pdf text en public cc_by_4

[23002298 - Dependence Modeling] A new extreme value copula and new families of univariate distributions based on Freund’s exponential model.pdf

published 92958 1 269434 document 92958 indexcodes.txt text/x-c++ f0b0e9891d7780c3fcdfef98e9a2a263 MD5 9260 2021-01-14 08:25:02 https://pure.iiasa.ac.at/id/eprint/16995/2/indexcodes.txt 16995 2 2 text/x-c++ other Generate index codes conversion from text to indexcodes en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/92957 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/92957 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/92957 archive 353 disk0/00/01/69/95 2021-01-14 08:16:33 2021-08-27 17:34:13 2021-01-14 08:16:33 article show Guzmics S. Pflug G. 1361 0000-0001-8215-3550 A new extreme value copula and new families of univariate distributions based on Freund’s exponential model pub prog_risk The use of the exponential distribution and its multivariate generalizations is extremely popular in lifetime modeling. Freund's bivariate exponential model (1961) is based on the idea that the remaining lifetime of any entity in a bivariate system is shortened when the other entity defaults. Such a model can be quite useful for studying systemic risk, for instance in financial systems. Guzmics and Pflug (2019) revisited Freund's model, deriving the corresponding bivariate copula and examined some characteristics of it; furthermore, we opened the door for a multivariate setting. Now we present further investigations in the bivariate model: we compute the tail dependence coefficients, we examine the marginal and joint distributions of the componentwise maxima, which leads to an extreme value copula, which - to the best of our knowledge - has not been investigated in the literature yet. The original bivariate model of Freund has been extended to more variables by several authors. We also turn to the multivariate setting, and our focus is different from that of the previous generalizations, and therefore it is novel: examining the distribution of the sum and of the average of the lifetime variables (provided that the shock parameters are all the same) leads to new families of univariate distributions, which we call Exponential Gamma Mixture Type I and Type II (EGM) distributions. We present their basic properties, we provide asymptotics for them, and finally we also provide the limiting distribution for the EGM Type II distribution. 2020-12 published De Gruyter 10.1515/demo-2020-0018 229 public Dependence Modeling 8 1 330-360 TRUE 2300-2298 FALSE no info:eu-repo/semantics/article