Dependence properties and comparison results for Lévy processes
Year of publication: |
2008
|
---|---|
Authors: | Bäuerle, Nicole ; Blatter, Anja ; Müller, Alfred |
Published in: |
Computational Statistics. - Springer. - Vol. 67.2008, 1, p. 161-186
|
Publisher: |
Springer |
Subject: | Lévy processes | Dependence concepts | Lévy copula | Dependence ordering | Archimedean copula | Ruin times | Option pricing | Primary 60G51 | Secondary 62H99 |
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