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| Home > Research literature > Studies > Testing extreme value copulas to estimate the quantile |
| Imprint: | Xarxa de Referència en Economia Aplicada (XREAP) 2013 |
| Description: | 31 p. |
| 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. |
| 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:  |
| Language: | Anglès |
| Series: | Xarxa de Referència en Economia Aplicada (XREAP). Documents de treball de la Xarxa de Referència en Economia Aplicada (XREAP) |
| Series: | XREAP ; 2013-09 |
| Document: | Working paper |
| Subject: | Risc (Economia) ; Distribució (Teoria de la probabilitat) ; Risk ; Distribution (Probability theory) |
