dc.contributor.author
Bahraoui, Zuhair
dc.contributor.author
Bolancé Losilla, Catalina
dc.contributor.author
Pérez Marín, Ana María
dc.date.issued
2016-02-18T11:05:47Z
dc.date.issued
2016-02-18T11:05:47Z
dc.date.issued
2016-02-18T11:05:47Z
dc.identifier
https://hdl.handle.net/2445/69588
dc.description.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.
dc.format
application/pdf
dc.publisher
Institut d'Estadística de Catalunya
dc.relation
Reproducció del document publicat a: http://www.raco.cat/index.php/SORT/article/view/277220/365152
dc.relation
Sort (Statistics and Operations Research Transactions), 2014, vol. 38, num. 1, p. 89-102
dc.rights
cc-by-nc-nd (c) Bahraoui, Zuhair et al., 2014
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/es
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
dc.subject
Teoria de la distribució de valors
dc.subject
Variables (Matemàtica)
dc.subject
Assegurances d'automòbils
dc.subject
Value distribution theory
dc.subject
Variables (Mathematics)
dc.subject
Automobile insurance
dc.title
Testing extreme value copulas to estimate the quantile
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/publishedVersion
