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  • Jan-Frederik Mai, Matthias Scherer
  • Computer Science, Mathematics
  • J. Multivar. Anal.
  • 2009 (First Publication: 1 August 2009)
  • A parametric family of n-dimensional extreme-value copulas of Marshall-Olkin type is introduced. Members of this class arise as survival copulas in Levy-frailty models. The underlying probabilisticContinue Reading
  • Jan-Frederik Mai, Matthias Scherer
  • Computer Science, Mathematics
  • J. Multivar. Anal.
  • 2012 (First Publication: 1 September 2012)
  • We survey recent developments on hierarchical copula models and focus on those arising as factor models. We unify the literature by introducing the notion of h-extendibility, a notion thatContinue Reading