Tolerance intervals for quantiles of bivariate risks and risk measurement

DOI10.1016/j.insmatheco.2007.12.003zbMath1141.91512OpenAlexW2033726092MaRDI QIDQ931191

Omer L. Gebizlioglu, Banu Yagci

Publication date: 25 June 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.12.003

zbMATH Keywords

order statisticscopulasquantilesprobability integral transformconcomitantstolerance intervalsbivariate risksFarlie-Gumbel-Morgenstern family of distributions

Mathematics Subject Classification ID

Related Items (11)

On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ Quantile credibility models ⋮ Two-sided tolerance intervals in the exponential case: corrigenda and generalizations ⋮ Quantiles in a multi-stage nested classification credibility model ⋮ Semi-analytical formula for pricing bilateral counterparty risk of CDS with correlated credit risks ⋮ Measurement of bivariate risks by the north-south quantile points approach ⋮ Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Risk analysis under progressive type II censoring with binomial claim numbers ⋮ Analysis of ruin measures for the classical compound Poisson risk model with dependence ⋮ Multi-stage nested classification credibility quantile regression model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to copulas. Properties and applications
• Distribution of the maximum of concomitants of selected order statistics
• Distribution functions of multivariate copulas.
• Using copulae to bound the value-at-risk for functions of dependent risks
• Distribution-function-based bivariate quantiles.
• Stochastic bounds on sums of dependent risks
• Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach
• New generalized Farlie-Gumbel-Morgenstern distributions and concomitants of order statistics
• Bayes and Fiducial Equivariant Estimators of the Common Mean of Two Normal Distributions
• Concomitants in a Sequence of Independent Nonidentically Distributed Random Vectors
• Distribution functions of copulas: A class of bivariate probability integral transforms

This page was built for publication: Tolerance intervals for quantiles of bivariate risks and risk measurement