Testing extreme value copulas to estimate the quantile

• Bahraou, Zuhair ^[1] ; Bolancé Losilla, Catalina ^[1] ; Pérez Marín, Ana María ^[1]
  1. [1] Universitat de Barcelona

     Universitat de Barcelona

     Barcelona, España

     
• Localización: Documentos de trabajo ( XREAP ), Nº. 9, 2013
• Idioma: inglés
• Enlaces
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• Resumen

  • 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.