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Document type:
Zeitschriftenaufsatz 
Author(s):
Esmaeili, H., Klüppelberg, C. 
Title:
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...    »
 
Keywords:
dependence modelling, L´evy copula, L´evy measure, Lévy process, maximum likelihood estimation, multivariate compound Poisson process. 
Journal title:
Insurance: Mathematics and Economics 
Year:
2010 
Journal volume:
47 
Year / month:
2010-10 
Journal issue:
Pages contribution:
224-233 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text