Centro de Documentacion de Fundación MAPFRE - Skewed bivariate models and nonparametric estimation for the CTE risk measure

Notas: Sumario: In this paper, it is illustrated 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 comparedRegistros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 27/12/2008 Tomo 43 Número 3 - 2008, p. 386-393Materia / lugar / evento: Matemática del seguro Métodos estadísticos Estimación Kernel Seguro de automóviles Siniestros Otros autores: Bolancé Losilla, Catalina
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