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Title: | On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributions |
Author: | Bahraoui, Zuhair Bolancé Losilla, Catalina Pelican, Elena Vernic, Raluca |
Keywords: | Variables (Matemàtica) Variables aleatòries Teoria de distribucions (Anàlisi funcional) Teoria de l'estimació Variables (Mathematics) Random variables Theory of distributions (Functional analysis) Estimation theory |
Issue Date: | 2015 |
Publisher: | Institut d'Estadística de Catalunya |
Abstract: | The Sarmanov family of distributions can provide a good model for bivariate random variables and it is used to model dependency in a multivariate setting with given marginals. In this paper, we focus our attention on the bivariate Sarmanov distribution and copula with different truncated extreme value marginal distributions. We compare a global estimation method based on maximizing the full log-likelihood function with the estimation based on maximizing the pseudolog- likelihood function for copula (or partial estimation). Our aim is to estimate two statistics that can be used to evaluate the risk of the sum exceeding a given value. Numerical results using a real data set from the motor insurance sector are presented. |
Note: | Reproducció del document publicat a: http://www.raco.cat/index.php/SORT/article/view/302260/391949 |
It is part of: | Sort (Statistics and Operations Research Transactions), 2015, vol. 39, num. 2, p. 1-22 |
URI: | http://hdl.handle.net/2445/97120 |
ISSN: | 1696-2281 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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