In this paper we study the dependence properties of a family of bivariate distributions (that
we call Archimedean-based Marshall-Olkin distributions) that extends the class of the …

This paper introduces a new class of copulas and shows its relevance for applications. In
particular, a stochastic interpretation in terms of a system of dependence components …

The omnipotence of copulas when modeling dependence given marginal distributions in a
multivariate stochastic situation is assured by the Sklar's theorem. Montes et al.(2015) …

Copula is a useful tool that captures the dependence structure among random variables. In
practice, it is an important question which copula to choose depending on the given data …

In this paper we introduce some new copulas emerging from shock models. It was shown in
[21] that reflected maxmin copulas (RMM for short) are not just some specific singular …

Financial contagion and systemic risk measures are commonly derived from conditional
quantiles by using imposed model assumptions such as a linear parametrization. In this …

In this paper, we consider the Marshall–Olkin technique of modeling the multivariate random
lifetimes of the components of a system, as the first arrival times of some shock affecting part …

In this paper, we consider a new family of multivariate copulas described by a sequence of
functions, named as AMO copula. The set of AMO copulas corresponds to a class of …

In this paper we study the distributional properties of a vector of lifetimes in which each
lifetime is modeled as the first arrival time between an idiosyncratic shock and a common …