On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributi
Bahraoui, Zuhair (Universitat de Barcelona. Departament d'Econometria)
Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria)
Pelican, Elena (Ovidius University of Constanta (Constanta, Romania). Faculty of Mathematics and Computer Science)
Vernic, Raluca (Ovidius University of Constanta (Constanta, Romania). Faculty of Mathematics and Computer Science)

Date: 2015
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.
Rights: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Language: Anglès
Document: article ; recerca ; publishedVersion
Subject: Bivariate sarmanov distribution ; Truncated marginal distributions ; Copula representation ; Risk measures
Published in: SORT : statistics and operations research transactions, Vol. 39 Núm. 2 (July-December 2015) , p. 209-230 (Articles) , ISSN 2013-8830

Adreça alternativa: https://www.raco.cat/index.php/SORT/article/view/302260

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 Record created 2015-12-23, last modified 2021-04-07

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