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...

We consider an insurance risk model for the cashflow of an insurance company, which invests its reserve into a portfolio consisting of risky and riskless assets. The price of the risky asset is modeled by an exponential Lévy process. We derive the integrated risk process and the corresponding...