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13.349 Articles in journals published by the UPC
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Testing extreme value copulas to estimate the quantile

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Bahraoui, Zuhair
Bolancé, Catalina
Pérez-Marín, Ana M.
Document typeArticle
Defense date2014-06-12
PublisherInstitut d'Estadística de Catalunya
Rights accessOpen Access
Attribution-NonCommercial-NoDerivs 3.0 Spain
Except where otherwise noted, content on this work is licensed under a Creative Commons license : Attribution-NonCommercial-NoDerivs 3.0 Spain
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.
CitationBahraoui, Zuhair; Bolancé, Catalina; Pérez-Marín, Ana M. Testing extreme value copulas to estimate the quantile. "SORT", 12 Juny 2014, vol. 38, núm. 1, p. 89-102. 
URIhttp://hdl.handle.net/2117/88925
ISSN1696-2281
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  • SORT (Statistics and Operations Research Transactions) - 2014: Vol. 38, Núm. 1 [7]
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