Testing extreme value copulas to estimate the quantile

Identificador:  PC:2452

Handle: https://hdl.handle.net/20.500.11797/PC2452

Autors:  Pérez Marín, Ana María; Bolancé Losilla, Catalina; Bahraou, Zuhair

Resum:
Testing weather or not data belongs could been generated by a family of extreme value copulas is difficult. We generalize a test and we prove that it 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 motivated by a bivariate sample of losses from a real database of auto insurance claims. Methods are implemented in R.