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Calibration of Claim Size Processes in Non-Life Insurance by Non-Linear Filtering for Lévy Processes

Kakunze, Patrick
Master thesis
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Thesis_Kakunze.pdf (509.1Kb)
Year
2008
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http://urn.nb.no/URN:NBN:no-21230

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  • Modellering og dataanalyse [183]
Abstract
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.
 
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