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

Testing extreme value copulas to estimate the quantile

  • Datos identificativos

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

  • Otros:

    Autor/es de la URV: Pérez-Marín, Ana M. Bolancé, Catalina Bahraoui, Zuhair
    Palabras clave: quantile extreme value distributions Extreme value copula
    Resumen: 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.
    Año de publicación de la revista: 2014
    Tipo de publicación: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article

  • Palabras clave:

    quantile
    extreme value distributions
    Extreme value copula

  • Documentos:

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