Rank-based inference tools for copula regression, with property and casualty insurance applications

DOI10.1016/j.insmatheco.2019.08.001zbMath1427.91223OpenAlexW2971914912MaRDI QIDQ2010890

Marie-Pier Côté, Christian Genest, Marek Omelka

Publication date: 28 November 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.08.001

zbMATH Keywords

weak convergencegoodness-of-fit testresidualsempirical copula processmaximum pseudo-likelihoodinversion of Kendall's tau

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Actuarial mathematics (91G05)

Related Items (4)

Estimation and inference in factor copula models with exogenous covariates ⋮ A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims ⋮ Hypothesis Tests for Structured Rank Correlation Matrices ⋮ Copula modeling from Abe Sklar to the present day

Uses Software

• R
• gcmr
• copula
• copula
• simsalapar

Cites Work

• Unnamed Item
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