Marshall-Olkin Model with Delayed Shocks Effect and Applications

• Grant number: 17/14819-2
• Support Opportunities: Scholarships abroad - Research
• Start date: September 15, 2017
• End date: February 14, 2018
• 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
• Associated research grant: 13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry, AP.CEPID

Abstract

We suggest a modification of the classical bivariate Marshall-Olkin's shock model, considering a possibility of a singularity contribution along arbitrary curve in the first quadrant. Such an assumption naturally allows a delayed effect of the shocks affecting the elements of the system. Properties of the new model will be investigated and its applications in Finance, Reliability and Insurance will be discussed.

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

GOBBI, FABIO; KOLEV, NIKOLAI; MULINACCI, SABRINA. JOINT LIFE INSURANCE PRICING USING EXTENDED MARSHALL-OLKIN MODELS. ASTIN BULLETIN, v. 49, n. 2, p. 409-432, MAY 2019. (13/07375-0, 17/14819-2)