Discussion: Statistical models and methods for dependence in insurance data

DOI10.1016/J.JKSS.2011.03.004MaRDI QIDQ458106zbMATH OpenOpenAlexFDO

Authors Martin Ruppert, Christian Genest, Johanna Nešlehová

Publication date 30 September 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2011.03.004

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
• A goodness-of-fit test for bivariate extreme-value copulas
• A Primer on Copulas for Count Data
• Constraints on concordance measures in bivariate discrete data
• Construction of asymmetric multivariate copulas
• Estimating copula densities through wavelets
• Non-parametric Bayesian inference on bivariate extremes
• Nonparametric rank-based tests of bivariate extreme-value dependence
• On rank correlation measures for non-continuous random variables
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• On the properties of some nonparametric concordance measures in the discrete case
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Rank-based inference for bivariate extreme-value copulas
• Revisiting the Edge, Ten Years On
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(8)

• Nonparametric maximum likelihood estimation for dependent truncation data based on copulas
• Some copula inference procedures adapted to the presence of ties
• Rejoinder on: Inference in multivariate Archimedean copula models
• Asymptotic behavior of the empirical multilinear copula process under broad conditions
• Bivariate integer-autoregressive process with an application to mutual fund flows
• On the empirical multilinear copula process for count data
• Using B-splines for nonparametric inference on bivariate extreme-value copulas
• Testing asymmetry in dependence with copula-coskewness

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