Calibration of Claim Size Processes in Non-Life Insurance by Non-Linear Filtering for Lévy Processes
Institution: | University of Oslo |
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Department: | |
Year: | 1000 |
Keywords: | stokastisk analyse skadeforsikring Poisson prosess modellering dataanalyse; VDP::412 |
Record ID: | 1286976 |
Full text PDF: | http://urn.nb.no/URN:NBN:no-21230 https://www.duo.uio.no/handle/10852/10815 https://www.duo.uio.no/bitstream/handle/10852/10815/1/Thesis_Kakunze.pdf |
This thesis deals with infinitely divisible distributions, Poisson process, Stochastic Partial Differential Equations and Lévy processes. Keywords: Infinitely divisible distributions, stable distributions, compensated Poisson processes, Lévy processes and Calibration of jump diffusion measure.