Parameter estimation of a bivariate compound Poisson process
نویسندگان
چکیده
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 the Danish fire insurance data. AMS 2000 Subject Classifications: primary: 62M05, 62P05 secondary: 60G51
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