# name
Testing extreme value copulas to estimate the quantile

# metadata.dc.description.abstract[].value
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.

# metadata.dc.relation.ispartof[].value
Sort (Statistics and Operations Research Transactions), 2014, vol. 38, num. 1, p. 89-102

# metadata.dc.rights[].value
cc-by-nc-nd (c) Bahraoui, Zuhair et al., 2014

# metadata.dc.source[].value
Articles publicats en revistes  (Econometria, Estadística i Economia Aplicada)

# metadata.dc.title[].value
Testing extreme value copulas to estimate the quantile