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

Testing extreme value copulas to estimate the quantile

  • Identification data

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

  • Others:

    URV's Author/s: Pérez-Marín, Ana M. Bolancé, Catalina Bahraoui, Zuhair
    Keywords: quantile extreme value distributions Extreme value copula
    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.
    Journal publication year: 2014
    Publication Type: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Keywords:

    quantile
    extreme value distributions
    Extreme value copula

  • Documents:

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