Revistes Publicacions URV: SORT - Statistics and Operations Research Transactions> 2015

On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi

  • Identification data

    Identifier: RP:2431
    Handle: https://hdl.handle.net/20.500.11797/RP2431
    Authors:
    Vernic, RalucaPelican, ElenaBolancé, CatalinaBahraoui, Zuhair
    Abstract:
    The Sarmanov family of distributions can provide a good model for bivariate random variables and it is used to model dependency in a multivariate setting with given marginals. In this paper, we focus our attention on the bivariate Sarmanov distribution and copula with different truncated extreme value marginal distributions. We compare a global estimation method based on maximizing the full log-likelihood function with the estimation based on maximizing the pseudo-log-likelihood function for copula (or partial estimation). Our aim is to estimate two statistics that can be used to evaluate the risk of the sum exceeding a given value. Numerical results using a real data set from the motor insurance sector are presented.

  • Others:

    URV's Author/s: Vernic, Raluca Pelican, Elena Bolancé, Catalina Bahraoui, Zuhair
    Keywords: Bivariate Sarmanov distribution, truncated marginal distributions, copula representation, risk measures
    Abstract: The Sarmanov family of distributions can provide a good model for bivariate random variables and it is used to model dependency in a multivariate setting with given marginals. In this paper, we focus our attention on the bivariate Sarmanov distribution and copula with different truncated extreme value marginal distributions. We compare a global estimation method based on maximizing the full log-likelihood function with the estimation based on maximizing the pseudo-log-likelihood function for copula (or partial estimation). Our aim is to estimate two statistics that can be used to evaluate the risk of the sum exceeding a given value. Numerical results using a real data set from the motor insurance sector are presented.
    Journal publication year: 2015
    Publication Type: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Keywords:

    Bivariate Sarmanov distribution, truncated marginal distributions, copula representation, risk measures

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