Article: article from journal or magazin.
Modeling of censored bivariate extremal events
Journal of the Korean Statistical Society
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.
Randomly censoring, Coefficient of tail dependence, Large claims, Small tail probability, Concomitant order statistics, Bivariate Hall-class
Web of science
Last modification date