Lévy Copulas: Review of Recent Results
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Publication:2956050
DOI10.1007/978-3-319-25826-3_7zbMath1354.60051OpenAlexW2269134697MaRDI QIDQ2956050
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-25826-3_7
Lévy processesregular variationMonte Carlo simulationstatistical estimationrisk managementLévy copulas
Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Point estimation (62F10) Probability distributions: general theory (60E05)
Related Items (8)
Copula modeling for discrete random vectors ⋮ Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Compound vectors of subordinators and their associated positive Lévy copulas ⋮ Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process ⋮ Clustering of financial instruments using jump tail dependence coefficient
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- Ruin estimation in multivariate models with Clayton dependence structure
- Lévy Copulas: Dynamics and Transforms of Upsilon Type
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