Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/69588
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: http://www.raco.cat/index.php/SORT/article/view/277220/365152 |
It is part of: | Sort (Statistics and Operations Research Transactions), 2014, vol. 38, num. 1, p. 89-102 |
URI: | http://hdl.handle.net/2445/69588 |
ISSN: | 1696-2281 |
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 |
This item is licensed under a Creative Commons License