serval:BIB_C3FB10FFC52E
Modeling of censored bivariate extremal events
10.1016/j.jkss.2013.10.004
000348754700001
Hashorva
E.
author
Ling
C.
author
Peng
Z.
author
article
2014
Journal of the Korean Statistical Society
1226-3192
journal
43
3
323-338
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
eng
60_published
peer-reviewed
University of Lausanne
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