On the bivariate Sarmanov distribution and copula. An application on insurance data using truncated marginal distributions
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 val...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2015 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/97120 |
| Acceso en línea: | https://hdl.handle.net/2445/97120 |
| Access Level: | acceso abierto |
| Palabra clave: | Variables (Matemàtica) Variables aleatòries Teoria de distribucions (Anàlisi funcional) Teoria de l'estimació Variables (Mathematics) Random variables Theory of distributions (Functional analysis) Estimation theory |
| Sumario: | 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 pseudolog- 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. |
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