Self-consistent estimation of conditional multivariate extreme value distributions
نویسندگان
چکیده
منابع مشابه
Orthant tail dependence of multivariate extreme value distributions
AMS 2000 subject classifications: 62H20 62P05 Keywords: Tail dependence Heavy tails Copula Multivariate extreme value distribution Marshall–Olkin distribution Archimedean copula Contagion risk a b s t r a c t The orthant tail dependence describes the relative deviation of upper-(or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its c...
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در این بررسی ابتدا به بررسی ماهیت توزیع خسارات پرداخته میشود و از روش نظریه مقادیر نهایی برای بدست آوردن برآورد ارزش در معرض خطر برای خسارات روزانه بیمه مسئولیت شرکت بیمه ایران استفاده میشود. سپس کارایی نظریه مقدار نهایی در برآورد ارزش در معرض خطر با کارایی سایر روشهای واریانس ، کواریانس و روش شبیه سازی تاریخی مورد مقایسه قرار میگیرد. نتایج این بررسی نشان میدهند که توزیع ،garch شناخته شده مدل...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2014
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2014.02.003