Esmaeili, Habib; Klüppelberg, Claudia - In: Insurance: Mathematics and Economics 47 (2010) 2, pp. 224-233
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...