B0795
Title: Exogenous shock models: Characterization and hierarchical construction
Authors: Henrik Sloot - Technical University of Munich (Germany) [presenting]
Abstract: A new characterization theorem for the survival-functions of multivariate failure-times arising in exogenous shock models with non-negative, continuous, and unbounded shocks is presented. These survival-functions are the product of their ordered and individually transformed arguments --- where the transformations may depend on the specific order and must fulfill a monotonicity condition. Conversely, every survival-function of that very form can be attained using an exogenous shock model. Furthermore, every extendible exogenous shock model has an alternative stochastic representation as a frailty-model involving some additive subordinator. Finally, examples based on hierarchical additive-frailty models are presented.
Journal