Lévy Copulas: Review of Recent Results

Peter Tankov ()
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Peter Tankov: Université Paris Diderot, Laboratoire de Probabilités Et Modèles Aléatoires

A chapter in The Fascination of Probability, Statistics and their Applications, 2016, pp 127-151 from Springer

Abstract: Abstract We review and extend the now considerable literature on Lévy copulas. First, we focus on Monte Carlo methods and present a new robust algorithm for the simulation of multidimensional Lévy processes with dependence given by a Lévy copula. Next, we review statistical estimation techniques in a parametric and a non-parametric setting. Finally, we discuss the interplay between Lévy copulas and multivariate regular variation and briefly review the applications of Lévy copulas in risk management. In particular, we provide a new easy-to-use sufficient condition for multivariate regular variation of Lévy measures in terms of their Lévy copulas.

Keywords: Lévy processes; Lévy copulas; Monte Carlo simulation; Statistical estimation; Risk management; Regular variation (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-25826-3_7

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DOI: 10.1007/978-3-319-25826-3_7

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