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Levy Processes and Levy Copulas by Martin Hunting (Paperback, 2009)

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About this product

Product Information

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

Product Identifiers

PublisherVdm Verlag

ISBN-139783639199536

eBay Product ID (ePID)15049032011

Product Key Features

Number of Pages128 Pages

Publication NameLevy Processes and Levy Copulas

LanguageEnglish

SubjectMathematics

Publication Year2009

TypeTextbook

AuthorMartin Hunting

FormatPaperback

Dimensions

Item Height229 mm

Item Weight200 g

Item Width152 mm

Additional Product Features

Country/Region of ManufactureGermany

Title_AuthorMartin Hunting