Modeling of censored bivariate extremal events
Details
State: Public
Version: author
Serval ID
serval:BIB_C3FB10FFC52E
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Modeling of censored bivariate extremal events
Journal
Journal of the Korean Statistical Society
ISSN
1226-3192 (Print)
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
43
Number
3
Pages
323-338
Language
english
Abstract
In this paper we consider the estimation of the coefficient of tail dependence and of small tail probability under a bivariate randomly censoring mechanism. A new class of generalized moment estimators of the coefficient of tail dependence and the estimator of small tail probability are proposed, respectively. Under the bivariate Hall-type conditions, the asymptotic distributions of these estimators are established. Monte Carlo simulations are performed and the new estimators are applied to an insurance data-set.
Keywords
Randomly censoring, Coefficient of tail dependence, Large claims, Small tail probability, Concomitant order statistics, Bivariate Hall-class
Web of science
Create date
20/10/2013 16:33
Last modification date
20/08/2019 15:39