Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/97120
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bahraoui, Zuhair | - |
dc.contributor.author | Bolancé Losilla, Catalina | - |
dc.contributor.author | Pelican, Elena | - |
dc.contributor.author | Vernic, Raluca | - |
dc.date.accessioned | 2016-04-07T14:52:23Z | - |
dc.date.available | 2016-04-07T14:52:23Z | - |
dc.date.issued | 2015 | - |
dc.identifier.issn | 1696-2281 | - |
dc.identifier.uri | http://hdl.handle.net/2445/97120 | - |
dc.description.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. | - |
dc.format.extent | 22 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/302260/391949 | - |
dc.relation.ispartof | Sort (Statistics and Operations Research Transactions), 2015, vol. 39, num. 2, p. 1-22 | - |
dc.rights | cc-by-nc-nd (c) Bahraoui, Zuhair et al., 2015 | - |
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 | Variables (Matemàtica) | - |
dc.subject.classification | Variables aleatòries | - |
dc.subject.classification | Teoria de distribucions (Anàlisi funcional) | - |
dc.subject.classification | Teoria de l'estimació | - |
dc.subject.other | Variables (Mathematics) | - |
dc.subject.other | Random variables | - |
dc.subject.other | Theory of distributions (Functional analysis) | - |
dc.subject.other | Estimation theory | - |
dc.title | On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributions | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/publishedVersion | - |
dc.identifier.idgrec | 655970 | - |
dc.date.updated | 2016-04-07T14:52:28Z | - |
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 | |
---|---|---|---|---|
655970.pdf | 223.35 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License