Please use this identifier to cite or link to this item:
Title: Testing extreme value copulas to estimate the quantile
Author: Bahraoui, Zuhair
Bolancé Losilla, Catalina
Pérez Marín, Ana María
Keywords: Teoria de la distribució de valors
Variables (Matemàtica)
Assegurances d'automòbils
Value distribution theory
Variables (Mathematics)
Automobile insurance
Issue Date: 2014
Publisher: Institut d'Estadística de Catalunya
Abstract: We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have been motivated by a bivariate sample of losses from a real database of auto insurance claims.
Note: Reproducció del document publicat a:
It is part of: Sort (Statistics and Operations Research Transactions), 2014, vol. 38, num. 1, p. 89-102
ISSN: 1696-2281
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Files in This Item:
File Description SizeFormat 
645627.pdf129.71 kBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons