Dependence properties and comparison results for Lévy processes
DOI10.1007/S00186-007-0185-6zbMATH Open1141.60023OpenAlexW2048897617MaRDI QIDQ2482691FDOQ2482691
Authors: Nicole Bäuerle, Anja Blatter, 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
Recommendations
Archimedean copulaOption pricingDependence conceptsDependence orderingRuin timesLévy copulaLévy processes
Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15)
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Cited In (21)
- Comparison of two components of a bivariate subordinator and study of the upper envelope of a Lévy process
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Pareto Lévy measures and multivariate regular variation
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- A condition-based imperfect replacement policy for a periodically inspected system with two dependent wear indicators
- Lévy copulas: review of recent results
- The first passage event for sums of dependent Lévy processes with applications to insurance risk
- On association and other forms of positive dependence for Feller processes
- On a Comparison Result for Markov Processes
- Dependence properties of dynamic credit risk models
- Optimal Dividends Paid in a Foreign Currency for a Lévy Insurance Risk Model
- Multivariate risk processes with interacting intensities
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Supermodular ordering of Poisson arrays
- On some dependence structures for multidimensional Lévy driven moving averages
- Asymptotic multivariate dominance: a financial application
- Convex ordering criteria for Lévy processes
- Comparison of semimartingales and Lévy processes
- Association and other forms of positive dependence for Feller evolution systems
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- Stochastic comparison and preservation of positive correlations for Lévy-type processes
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