Testing for Concordance Ordering

DOI10.2143/AST.34.1.504960zbMath1058.62047OpenAlexW4214916919MaRDI QIDQ4661702

Ana C. Cebrián, Olivier Scaillet, Michel M. Denuit

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.34.1.504960

zbMATH Keywords

copularisk managementloss severity distributionconcordance correlation orderinequality constraint testsorthant dominancequadrant dominance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS ⋮ Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection ⋮ Approximation of bivariate copulas by patched bivariate Fréchet copulas ⋮ Testing for positive expectation dependence ⋮ A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests ⋮ Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis ⋮ Parameter estimation for multi-state coherent series and parallel systems with positively quadrant dependent models

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