Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling
AbstractA 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1212.0092.
Date of creation: Dec 2012
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-ECM-2012-12-10 (Econometrics)
- NEP-RMG-2012-12-10 (Risk Management)
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- 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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