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2014

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cc-by-nc-nd (c) Bahraoui, Zuhair et al., 2014
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/69588

Testing extreme value copulas to estimate the quantile

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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.

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Teoria de la distribució de valors, Variables (Matemàtica), Assegurances d'automòbils

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Value distribution theory, Variables (Mathematics), Automobile insurance

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

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BAHRAOUI, Zuhair, BOLANCÉ LOSILLA, Catalina and PÉREZ MARÍN, Ana María. Testing extreme value copulas to estimate the quantile. Sort (Statistics and Operations Research Transactions). 2014. Vol. 38, num. 1, pags. 89-102. ISSN 1696-2281. [consulted: 18 of August of 2026]. Available at: https://hdl.handle.net/2445/69588

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