摘要翻译：
通过一个共同的跳跃过程，将确定性的存活率期限结构随机化，推广了标准的基于强度的违约建模方法。导出了缺省时间向量的生存copula，并证明了它是显式的，具有Sibuya工作中所讨论的泛函形式。除了跳跃过程的参数外，在Copula中还出现了缺省时间的边际生存函数。因此，Sibuya copulas允许功能参数和不对称。由于构造中的跳转过程，它们允许单个组件。根据参数的不同，它们也可能是极值copulas或Levy-failty copulas。此外，Sibuya Copula很容易在任何维度取样。研究了Sibuya Copula的正下正交子依赖、尾依赖和极值依赖等性质。本文给出了第一违约合同定价的一个应用，并讨论了该copula类的进一步推广。
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英文标题：
《Sibuya copulas》
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作者：
Marius Hofert, Frederic Vrins
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最新提交年份：
2010
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  The standard intensity-based approach for modeling defaults is generalized by making the deterministic term structure of the survival probability stochastic via a common jump process. The survival copula of the vector of default times is derived and it is shown to be explicit and of the functional form as dealt with in the work of Sibuya. Besides the parameters of the jump process, the marginal survival functions of the default times appear in the copula. Sibuya copulas therefore allow for functional parameters and asymmetries. Due to the jump process in the construction, they allow for a singular component. Depending on the parameters, they may also be extreme-value copulas or Levy-frailty copulas. Further, Sibuya copulas are easy to sample in any dimension. Properties of Sibuya copulas including positive lower orthant dependence, tail dependence, and extremal dependence are investigated. An application to pricing first-to-default contracts is outlined and further generalizations of this copula class are addressed.
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PDF链接：
https://arxiv.org/pdf/1008.2292