dc.contributor
Xarxa de Referència en Economia Aplicada (XREAP)
dc.contributor.author
Bahraou, Zuhair
dc.contributor.author
Bolancé Losilla, Catalina
dc.contributor.author
Pérez Marín, Ana María
dc.date.accessioned
2013-12-02T10:27:43Z
dc.date.accessioned
2021-01-20T16:45:53Z
dc.date.accessioned
2024-11-29T09:40:15Z
dc.date.available
2013-12-02T10:27:43Z
dc.date.available
2021-01-20T16:45:53Z
dc.date.available
2024-11-29T09:40:15Z
dc.date.issued
2013-11-28
dc.identifier.uri
http://hdl.handle.net/2072/220753
dc.description.abstract
Testing weather or not data belongs could been generated by a family of extreme value copulas is difficult. We generalize a test and we prove that it 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 motivated by a bivariate sample of losses from a real database of auto insurance claims. Methods are implemented in R.
cat
dc.publisher
Xarxa de Referència en Economia Aplicada (XREAP)
dc.relation.ispartofseries
XREAP;2013-09
dc.rights
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Risc (Economia)
dc.subject.other
Distribució (Teoria de la probabilitat)
dc.subject.other
Distribution (Probability theory)
dc.title
Testing extreme value copulas to estimate the quantile
dc.type
info:eu-repo/semantics/workingPaper
