Dependence properties and comparison results for Lévy processes
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Publication:2482691
DOI10.1007/s00186-007-0185-6zbMath1141.60023MaRDI QIDQ2482691
Alfred Müller, Nicole Bäuerle, Anja Blatter
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
Lévy processes; Archimedean copula; Lévy copula; Option pricing; Dependence concepts; Dependence ordering; Ruin times
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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