Autor/es de la URV: Vernic, Raluca Pelican, Elena Bolancé, Catalina Bahraoui, Zuhair

Palabras clave: Bivariate Sarmanov distribution, truncated marginal distributions, copula representation, risk measures

Resumen: 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.

Año de publicación de la revista: 2015

Tipo de publicación: info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article