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On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi
dc.contributor.author | Bahraoui, Zuhair |
dc.contributor.author | Bolancé, Catalina |
dc.contributor.author | Pelican, Elena |
dc.contributor.author | Vernic, Raluca |
dc.date.accessioned | 2016-06-30T16:16:51Z |
dc.date.available | 2016-06-30T16:16:51Z |
dc.date.issued | 2015-12 |
dc.identifier.citation | Bahraoui, 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. |
dc.identifier.issn | 1696-2281 |
dc.identifier.uri | http://hdl.handle.net/2117/88430 |
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. |
dc.format.extent | 22 p. |
dc.language.iso | eng |
dc.publisher | Institut d'Estadística de Catalunya |
dc.relation.ispartof | SORT. 2015, Vol. 39, Núm. 2 |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject.other | Bivariate Sarmanov distribution |
dc.subject.other | truncated marginal distributions |
dc.subject.other | copula representation |
dc.subject.other | 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.peerreviewed | Peer Reviewed |
dc.subject.ams | Classificació AMS::62 Statistics |
dc.subject.ams | Classificació AMS::62 Statistics::62E Distribution theory |
dc.subject.ams | Classificació AMS::62 Statistics::62F Parametric inference |
dc.rights.access | Open Access |
local.citation.publicationName | SORT |
local.citation.volume | 39 |
local.citation.number | 2 |
local.citation.startingPage | 209 |
local.citation.endingPage | 230 |