Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2014

Testing extreme value copulas to estimate the quantile

  • Dades identificatives

    Identificador: RP:2410
    Handle: https://hdl.handle.net/20.500.11797/RP2410
    Autors:
    Pérez-Marín, Ana M.Bolancé, CatalinaBahraoui, Zuhair
    Resum:
    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.

  • Altres:

    Autor/s de la URV: Pérez-Marín, Ana M. Bolancé, Catalina Bahraoui, Zuhair
    Paraules clau: quantile extreme value distributions Extreme value copula
    Resum: 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.
    Any de publicació de la revista: 2014
    Tipus de publicació: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Paraules clau:

    quantile
    extreme value distributions
    Extreme value copula

  • Documents:

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