Estimation of the Lévy measure for the aggregate claims process in risk theory
Lévy processes (LP) are gaining popularity in actuarial and financial modeling. The Lévy measure is a key factor in the versatility of LP applications. The estimation of the Lévy measure from data is shown to be useful in analyzing the aggregate claims processes in Risk Theory. Starting with inf...
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2007
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| Online Access: | http://spectrum.library.concordia.ca/975473/1/MR34713.pdf Mozumder, Md. Sharif Ullah <http://spectrum.library.concordia.ca/view/creators/Mozumder=3AMd=2E_Sharif_Ullah=3A=3A.html> (2007) Estimation of the Lévy measure for the aggregate claims process in risk theory. Masters thesis, Concordia University. |