On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
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.
CitationBahraoui, Zuhair [et al.]. On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi. "SORT", Desembre 2015, vol. 39, núm. 2, p. 209-230.