dc.contributor.author |
Bahraoui, Zuhair |
dc.contributor.author |
Bolancé, Catalina |
dc.contributor.author |
Pelican, Elena |
dc.contributor.author |
Vernic, Raluca |
dc.date |
2015 |
dc.identifier |
https://ddd.uab.cat/record/144972 |
dc.identifier |
urn:oai:ddd.uab.cat:144972 |
dc.identifier |
urn:oai:raco.cat:article/302260 |
dc.identifier |
urn:articleid:20138830v39n2p209 |
dc.format |
application/pdf |
dc.language |
eng |
dc.publisher |
|
dc.relation |
; |
dc.relation |
SORT : statistics and operations research transactions ; Vol. 39 Núm. 2 (July-December 2015), p. 209-230 |
dc.rights |
open access |
dc.rights |
Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. |
dc.rights |
https://creativecommons.org/licenses/by-nc-nd/3.0/ |
dc.subject |
Bivariate sarmanov distribution |
dc.subject |
Truncated marginal distributions |
dc.subject |
Copula representation |
dc.subject |
Risk measures |
dc.title |
On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi |
dc.type |
Article |
dc.description.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. |