Pareto Lévy Measures and Multivariate Regular Variation

DOI10.1239/aap/1331216647zbMath1248.60052OpenAlexW2094451824MaRDI QIDQ2879909

Claudia Klüppelberg, Irmingard Eder

Publication date: 10 April 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1331216647

zbMATH Keywords

spectral measureLévy measuremultivariate regular variationmultivariate Lévy processestail dependence coefficientmultivariate stable processesPareto--Lévy copulatail integral

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

Related Items (6)

Risk in a Large Claims Insurance Market with Bipartite Graph Structure ⋮ Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ Nonparametric inference on Lévy measures and copulas ⋮ Lévy Copulas: Review of Recent Results ⋮ TWO‐STEP ESTIMATION OF A MULTI‐VARIATE LÉVY PROCESS ⋮ The first passage event for sums of dependent Lévy processes with applications to insurance risk

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