Nonhomogeneous bivariate compound Poisson process with short-term periodicity

Ali Sakhaei and Parviz Nasiri

Journal of Operational Risk

Abstract: This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function. The dependence between margins is modeled using the Lévy copula. The model’s parameters are estimated by the maximum likelihood method. Finally, a set of real data on automobile insurance is analyzed using the methodology of this study. The empirical results show that the nonhomogeneous bivariate compound Poisson process with the Clayton Lévy copula is a good model for describing real data in comparison with the homogeneous bivariate compound Poisson process.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ3:7882821

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