Marshall-Olkin Copulas Revisited
Abstract
Abstract Almost 70-year-old Marshall–Olkin copulas, then wider Marshall copulas, and finally even wider shock model (SM) copulas constitute a substantial part of nowadays copula theory due to numerous applications. Recently, Christian Genest with some coauthors introduced a new stochastic model for a special subclass of SM copulas which gives not only a new angle on these copulas but also widens the range of applications. In this paper, we extend this type of stochastic model to all known subclasses of SM copulas. We also introduce a novel class of SM copulas and extend the new stochastic model to this class as well.
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Statistical Distribution Estimation and Applications
Probability and Risk Models
Publication details
- Journal / source
- Mediterranean Journal of Mathematics
- Publisher
- Springer Science and Business Media LLC
- Volume
- 23
- Issue
- 4
- Publication date
- 1 June 2026
- Language
- EN