Posts Tagged ‘ loss ’

Maximum likelihood estimates for multivariate distributions

September 22, 2012
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Maximum likelihood estimates for multivariate distributions

Consider our loss-ALAE dataset, and - as in Frees & Valdez (1998) - let us fit a parametric model, in order to price a reinsurance treaty. The dataset is the following, > library(evd) > data(lossalae) > Z=lossalae > X=Z;Y=Z ...

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(nonparametric) Copula density estimation

September 20, 2012
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(nonparametric) Copula density estimation

Today, we will go further on the inference of copula functions. Some codes (and references) can be found on a previous post, on nonparametric estimators of copula densities (among other related things).  Consider (as before) the loss-ALAE data...

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Copulas and tail dependence, part 1

September 17, 2012
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Copulas and tail dependence, part 1

As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago). Joe (1990)'s lambdaJoe (1990) suggested a (strong) tail dependence index. For lower t...

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