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Lévy Processes and Lévy Copulas: With an Application in Insurance - Couverture souple

Hunting, Martin

 
9783639199536: Lévy Processes and Lévy Copulas: With an Application in Insurance
Couverture souple
ISBN 10 : 3639199537 ISBN 13 : 9783639199536
Editeur : VDM Verlag, 2009

Synopsis

This thesis discusses Lévy processes and Lévy copulas. In connection with Lévy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are equivalent.Within the class of Lévy processes we will mostly look at stable processes and compound Poisson processes. The theory of Lévy processes dates back to the late 1920?s, after de Finetti first introduced the class of infinitely divisible distributions. Since then Lévy processes have become popular tools for modelling in finance, insurance and physics. Lévy copulas were introduced by Peter Tankov in 2003 in order to model dependency between different components of a multivariate Lévy process. In the last part of the book we present an application of Lévy copulas in non-life insurance and ruin theory of a Lévy copula. Through this example we will discuss aspects regarding estimation of the parameters and goodness of fit.

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Présentation de l'éditeur

This thesis discusses Lévy processes and Lévy copulas. In connection with Lévy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are equivalent.Within the class of Lévy processes we will mostly look at stable processes and compound Poisson processes. The theory of Lévy processes dates back to the late 1920?s, after de Finetti first introduced the class of infinitely divisible distributions. Since then Lévy processes have become popular tools for modelling in finance, insurance and physics. Lévy copulas were introduced by Peter Tankov in 2003 in order to model dependency between different components of a multivariate Lévy process. In the last part of the book we present an application of Lévy copulas in non-life insurance and ruin theory of a Lévy copula. Through this example we will discuss aspects regarding estimation of the parameters and goodness of fit.

Biographie de l'auteur

Martin Hunting got his master of Science in statistics at the University of Bergen in 2007. He is now a Ph.D. student, also at the University of Bergen, and is expected to get his doctoral degree in 2011.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
VDM Verlag
Date d'édition
2009
Langue
anglais
ISBN 10 
3639199537
ISBN 13 
9783639199536
Reliure
Broché
Nombre de pages
128
Coordonnées du fabricant
non disponible
Personne responsable
non disponible