کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077311 1374125 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Skewed bivariate models and nonparametric estimation for the CTE risk measure
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Skewed bivariate models and nonparametric estimation for the CTE risk measure
چکیده انگلیسی

In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set of bivariate real data consisting of two types of auto insurance claim costs. Several continuous bivariate distributions (normal, lognormal, skew-normal with the alternative log-skew-normal) are fitted to the data. Besides, a bivariate nonparametric transformed kernel estimation is presented. CTE formulas are given for all these, and numerical results on the real data are discussed and compared.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 3, December 2008, Pages 386-393
نویسندگان
, , , ,