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dc.contributor.authorBahraoui, Zuhair
dc.contributor.authorBolancé, Catalina
dc.contributor.authorPelican, Elena
dc.contributor.authorVernic, Raluca
dc.date.accessioned2016-06-30T16:16:51Z
dc.date.available2016-06-30T16:16:51Z
dc.date.issued2015-12
dc.identifier.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.
dc.identifier.issn1696-2281
dc.identifier.urihttp://hdl.handle.net/2117/88430
dc.description.abstractThe 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.extent22 p.
dc.language.isoeng
dc.publisherInstitut d'Estadística de Catalunya
dc.relation.ispartofSORT. 2015, Vol. 39, Núm. 2
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Spain
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subjectÀrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica
dc.subject.otherBivariate Sarmanov distribution
dc.subject.othertruncated marginal distributions
dc.subject.othercopula representation
dc.subject.otherrisk measures
dc.titleOn the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi
dc.typeArticle
dc.description.peerreviewedPeer Reviewed
dc.subject.amsClassificació AMS::62 Statistics
dc.subject.amsClassificació AMS::62 Statistics::62E Distribution theory
dc.subject.amsClassificació AMS::62 Statistics::62F Parametric inference
dc.rights.accessOpen Access
local.citation.publicationNameSORT
local.citation.volume39
local.citation.number2
local.citation.startingPage209
local.citation.endingPage230


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