Marshall-Olkin model with delayed shocks effect and applications
| Grant number: | 13/08059-4 |
| Support type: | Scholarships abroad - Research |
| Effective date (Start): | September 01, 2013 |
| Effective date (End): | November 30, 2013 |
| Field of knowledge: | Physical Sciences and Mathematics - Probability and Statistics |
| Principal Investigator: | Nikolai Valtchev Kolev |
| Grantee: | Nikolai Valtchev Kolev |
| Host: | Umberto Cherubini |
| Home Institution: | Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil |
| Local de pesquisa : | Università di Bologna, Italy |
Abstract The project will focus on extending of the classical Marshall-Olkin model assuming dependence between the random variables involved. Bivariate probability and aging properties of the model will be studied, together with features related to evolution of dependence along time using typical reliability, copula theory and stochastic comparison techniques. Possible applications of the extended model to systemic risk and contagion modelling in finance are suggested. (AU) | |