Dependence properties and comparison results for Lévy processes

DOI10.1007/s00186-007-0185-6zbMath1141.60023MaRDI QIDQ2482691

Anja Blatter, Nicole Bäuerle, Alfred Müller

Publication date: 23 April 2008

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://publikationen.bibliothek.kit.edu/1000013434

zbMATH Keywords

Lévy processes; Archimedean copula; Lévy copula; Option pricing; Dependence concepts; Dependence ordering; Ruin times

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60E15: Inequalities; stochastic orderings

62H05: Characterization and structure theory for multivariate probability distributions; copulas

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