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http://hdl.handle.net/2445/69588Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Bahraoui, Zuhair | - |
| dc.contributor.author | Bolancé Losilla, Catalina | - |
| dc.contributor.author | Pérez Marín, Ana María | - |
| dc.date.accessioned | 2016-02-18T11:05:47Z | - |
| dc.date.available | 2016-02-18T11:05:47Z | - |
| dc.date.issued | 2014 | - |
| dc.identifier.issn | 1696-2281 | - |
| dc.identifier.uri | http://hdl.handle.net/2445/69588 | - |
| dc.description.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. | - |
| dc.format.extent | 14 p. | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | eng | - |
| dc.publisher | Institut d'Estadística de Catalunya | - |
| dc.relation.isformatof | Reproducció del document publicat a: http://www.raco.cat/index.php/SORT/article/view/277220/365152 | - |
| dc.relation.ispartof | Sort (Statistics and Operations Research Transactions), 2014, vol. 38, num. 1, p. 89-102 | - |
| dc.rights | cc-by-nc-nd (c) Bahraoui, Zuhair et al., 2014 | - |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es | - |
| dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
| dc.subject.classification | Teoria de la distribució de valors | - |
| dc.subject.classification | Variables (Matemàtica) | - |
| dc.subject.classification | Assegurances d'automòbils | - |
| dc.subject.other | Value distribution theory | - |
| dc.subject.other | Variables (Mathematics) | - |
| dc.subject.other | Automobile insurance | - |
| dc.title | Testing extreme value copulas to estimate the quantile | - |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| dc.identifier.idgrec | 645627 | - |
| dc.date.updated | 2016-02-18T11:05:47Z | - |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 645627.pdf | 129.71 kB | Adobe PDF | View/Open |
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