Pareto Lévy measures and multivariate regular variation

DOI10.1239/AAP/1331216647MaRDI QIDQ2879909zbMATH OpenOpenAlexFDO

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

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)

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• Jump tail dependence in Lévy copula models
• Lévy copulas: review of recent results
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Cited in

(9)

• scientific article; zbMATH DE number 2095964 (Why is no real title available?)
• Risk in a large claims insurance market with bipartite graph structure
• Lévy copulas: review of recent results
• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Estimation of model parameters of dependent processes constructed using Lévy copulas
• 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

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