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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Esmaeili, H., Klüppelberg, C. 
Titel:
Parameter estimation of a bivariate compound Poisson process 
Abstract:
In this article, we review the concept of a Lévy copula to describe the dependence structure of a bivariate compound Poisson process. In this first statistical approach we consider a parametric model for the Lévy copula and estimate the parameters of the full dependent model based on a maximum likelihood approach. This approach ensures that the estimated model remains in the class of multivariate compound Poisson processes. A simulation study investigates the small sample behaviour of...    »
 
Stichworte:
dependence modelling, L´evy copula, L´evy measure, Lévy process, maximum likelihood estimation, multivariate compound Poisson process. 
Zeitschriftentitel:
Insurance: Mathematics and Economics 
Jahr:
2010 
Band / Volume:
47 
Jahr / Monat:
2010-10 
Heft / Issue:
Seitenangaben Beitrag:
224-233 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text