Journal of Operational Risk

Nonhomogeneous bivariate compound Poisson process with short-term periodicity

Ali Sakhaei and Parviz Nasiri

  • Non-homogeneous compound Poisson process
  • Levy copula
  • Periodic intensity function
  • Cumulative intensity function

This paper presents new results on the nonhomogeneous bivariate compound Poisson process with a short-term periodic intensity function. The dependence between margins is modeled using the Lévy copula. The model’s parameters are estimated by the maximum likelihood method. Finally, a set of real data on automobile insurance is analyzed using the methodology of this study. The empirical results show that the nonhomogeneous bivariate compound Poisson process with the Clayton Lévy copula is a good model for describing real data in comparison with the homogeneous bivariate compound Poisson process.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here