Parameter estimation of a bivariate compound Poisson process

Habib Esmaeili and Claudia Klüppelberg

Insurance: Mathematics and Economics, 2010, vol. 47, issue 2, 224-233

Abstract: In this article, we review the concept of a Lévy copula to describe the dependence structure of a bivariate compound Poisson process. In this first statistical approach we consider a parametric model for the Lévy copula and estimate the parameters of the full dependent model based on a maximum likelihood approach. This approach ensures that the estimated model remains in the class of multivariate compound Poisson processes. A simulation study investigates the small sample behaviour of the MLEs, where we also suggest a new simulation algorithm. Finally, we apply our method to Danish fire insurance data.

Keywords: Dependence; modelling; Levy; copula; Levy; measure; Levy; process; Maximum; likelihood; estimation; Multivariate; compound; Poisson; process (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:47:y:2010:i:2:p:224-233

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