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Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling

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  • J. L. van Velsen
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    Abstract

    A method is developed to estimate the parameters of a Levy copula of a discretely observed bivariate compound Poisson process without knowledge of common shocks. The method is tested in a small sample simulation study. Also, the method is applied to a real data set and a goodness of fit test is developed. With the methodology of this work, the Levy copula becomes a realistic tool of the advanced measurement approach of operational risk.

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    File URL: http://arxiv.org/pdf/1212.0092
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1212.0092.

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    Date of creation: Dec 2012
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    Handle: RePEc:arx:papers:1212.0092

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    Web page: http://arxiv.org/

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    1. Esmaeili, Habib & Klüppelberg, Claudia, 2010. "Parameter estimation of a bivariate compound Poisson process," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 224-233, October.
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