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Extension of the classical Marshall-Olkin model and finance 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)