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2015

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cc-by-nc-nd (c) Bahraoui, Zuhair et al., 2015
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/97120

On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributions

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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.

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Variables (Matemàtica), Variables aleatòries, Teoria de distribucions (Anàlisi funcional), Teoria de l'estimació

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Variables (Mathematics), Random variables, Theory of distributions (Functional analysis), Estimation theory

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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BAHRAOUI, Zuhair, et al. On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributions. Sort (Statistics and Operations Research Transactions). 2015. Vol. 39, num. 2, pags. 1-22. ISSN 1696-2281. [consulted: 7 of June of 2026]. Available at: https://hdl.handle.net/2445/97120

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