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Lvy Processes and Lvy Copulas

Martin Hunting

ISBN 10: 3639199537 / ISBN 13: 9783639199536
Published by VDM Verlag
New Condition: New Soft cover
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128 pages. Dimensions: 9.1in. x 6.0in. x 0.9in.This thesis discusses Lvy processes and Lvy copulas. In connection with Lvy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are equivalent. Within the class of Lvy processes we will mostly look at stable processes and compound Poisson processes. The theory of Lvy processes dates back to the late 1920s, after de Finetti first introduced the class of infinitely divisible distributions. Since then Lvy processes have become popular tools for modelling in finance, insurance and physics. Lvy copulas were introduced by Peter Tankov in 2003 in order to model dependency between different components of a multivariate Lvy process. In the last part of the book we present an application of Lvy copulas in non-life insurance and ruin theory of a Lvy copula. Through this example we will discuss aspects regarding estimation of the parameters and goodness of fit. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9783639199536

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Bibliographic Details

Title: Lvy Processes and Lvy Copulas

Publisher: VDM Verlag

Binding: Paperback

Book Condition:New

Book Type: Paperback

About this title

Synopsis:

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

About the Author:

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.

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