Extension of the classical Marshall-Olkin model and finance applications

• Grant number: 13/08059-4
• Support Opportunities: Scholarships abroad - Research
• Start date: September 01, 2013
• End date: November 30, 2013
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Applied Probability and Statistics
• Principal Investigator: Nikolai Valtchev Kolev
• Grantee: Nikolai Valtchev Kolev
• Host Investigator: Umberto Cherubini
• Host Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
• Institution abroad: 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)