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 Levy Processes and Levy Copulas. With an Application in Insurance
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Levy Processes and Levy Copulas. With an Application in Insurance

автор Martin H.J. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 128        мягкая обложка       
Аннотация:Levy copulas were introduced by Peter Tankov in 2003 in order to model dependency between different components of a multivariate Levy process. Within the class of Levy processes we will mostly look at stable processes and compound Poisson processes. Since then Levy processes have become popular tools for modelling in finance, insurance and physics. In connection with Levy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are equivalent. This thesis discusses Levy processes and Levy copulas. Through this example we will discuss aspects regarding estimation of the parameters and goodness of fit. The theory of Levy processes dates back to the late 1920’s, after de Finetti first introduced the class of infinitely divisible distributions. 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.
Автор: Martin H.J.
Издательство: Книга по Требованию
Год:2009
Цена:
2402 руб
Нет в наличии
Поиск: Levy Processes and Levy Copulas. With an Application in Insurance
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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