Contact
How to shop
Delivery
Shopping guide
Levy Processes and Levy Copulas
English
156 b
Delivery to Austria
30-day return policy
Customers also purchased
/
Paperback
50.09
€
/
Paperback
7.99
€
/
Paperback
13.19
€
/
Paperback
52.19
€
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.
About the book
English
Categories
Give this book today
It's easy
1 Add to cart and choose Deliver as present at the checkout 2 We'll send you a voucher 3 The book will arrive at the recipient's addressYou might also be interested in
/
Paperback
28.79
€
/
Paperback
41.69
€
/
Hardback
245.99
€
Hi! I'm Libroamiko, your book advisor.
How can I help you?