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arXiv · 1212.0092

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

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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J. L. van Velsen. 2012-12-01. Parameter estimation of a Levy copula of a discretely observed bivariate compound Poisson process with an application to operational risk modelling. https://arxiv.org/abs/1212.0092

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