Modeling of censored bivariate extremal events

DOI10.1016/J.JKSS.2013.10.004zbMATH Open1306.62209OpenAlexW2060095928MaRDI QIDQ397218FDOQ397218

Authors: Enkelejd Hashorva, Chengxiu Ling, Zuoxiang Peng 

Publication date: 11 August 2014

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

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_C3FB10FFC52E.P001/REF.pdf

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zbMATH Keywords

bivariate Hall-classcoefficient of tail dependenceconcomitant order statisticslarge claimsrandomly censoringsmall tail probability

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Cites Work

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• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
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• Bias-reduced estimators for bivariate tail modelling
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• Statistical models and methods for dependence in insurance data
• On the residual dependence index of elliptical distributions

Cited In (3)

• On the study of extremes with dependent random right-censoring
• Estimation of extremes for heavy-tailed and light-tailed distributions in the presence of random censoring
• Tail dependence functions of two classes of bivariate skew distributions

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