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arxiv: 1602.01955 · v1 · pith:GH4Q2667new · submitted 2016-02-05 · 🧮 math.ST · stat.TH

Exchangeable exogenous shock models

classification 🧮 math.ST stat.TH
keywords distributionexogenousmodelsshockexchangeablefamilyfunctionsmultivariate
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We characterize a comprehensive family of $d$-variate exogenous shock models. Analytically, we consider a family of multivariate distribution functions that arises from ordering, idiosyncratically distorting, and finally multiplying the arguments. Necessary and sufficient conditions on the involved distortions to yield a multivariate distribution function are given. Probabilistically, the attainable set of distribution functions corresponds to a large class of exchangeable exogenous shock models. Besides, the vector of exceedance times of an increasing additive stochastic process across independent exponential trigger variables is shown to constitute an interesting subclass of the considered distributions and yields a second probabilistic model. The alternative construction is illustrated in terms of two examples.

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