On the bivariate Sarmanov distribution and copula. an application on insurance data using truncated marginal distributions

MaRDI QIDQ2810747zbMATH OpenFDO

Authors Zuhair Bahraoui, Catalina Bolancé, Raluca Vernic, Elena Pelican

Publication date 6 June 2016

Published in SORT. Statistics and Operations Research Transactions (Search for Journal in Brave)

Full work available at URL http://www.idescat.cat/sort/sort392/39.2.3.bahraoui-etal.pdf

zbMATH Keywords

risk measuresbivariate Sarmanov distributioncopula representationtruncated marginal distributions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited in

(7)

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• Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution
• On the evaluation of some multivariate compound distributions with Sarmanov's counting distribution
• Maximum-likelihood estimation for the multivariate Sarmanov distribution: simulation study
• On a class of bivariate mixed Sarmanov distributions
• Sarmanov distribution for modeling dependence between the frequency and the average severity of insurance claims
• Sarmanov family of bivariate distributions for multivariate loss reserving analysis

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Uses Software

• dobson
• gss
• fda (R)
• R

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