Parameter estimation of a bivariate compound Poisson process

DOI10.1016/j.insmatheco.2010.04.005zbMath1231.62150OpenAlexW1977868111MaRDI QIDQ661242

Habib Esmaeili, Claudia Klüppelberg

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.04.005

zbMATH Keywords

maximum likelihood estimationLévy processLévy measuredependence modellingLévy copula

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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Cites Work

• The first passage event for sums of dependent Lévy processes with applications to insurance risk
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Financial Modelling with Jump Processes
• Ruin estimation in multivariate models with Clayton dependence structure
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