Pareto Lévy measures and multivariate regular variation

DOI10.1239/AAP/1331216647zbMATH Open1248.60052OpenAlexW2094451824MaRDI QIDQ2879909FDOQ2879909

Authors: Irmingard Eder, Claudia Klüppelberg 

Publication date: 10 April 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1331216647

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zbMATH Keywords

spectral measuremultivariate regular variationtail dependence coefficientmultivariate stable processestail integralLévy measuremultivariate Lévy processesPareto--Lévy copula

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stable stochastic processes (60G52)

Cites Work

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Cited In (9)

• Risk in a large claims insurance market with bipartite graph structure
• Lévy copulas: review of recent results
• Estimation of model parameters of dependent processes constructed using Lévy copulas
• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
• Functional regular variations, Pareto processes and peaks over threshold
• Nonparametric inference on Lévy measures and copulas
• TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS
• Title not available (Why is that?)

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