Robust and bias-corrected estimation of the coefficient of tail dependence

C. Dutang, Y. Goegebeur, A. Guillou

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is obtained by fitting a second order model to the data by means of the minimum density power divergence criterion. The asymptotic properties of the estimator are investigated. The efficiency of our methodology is illustrated on a small simulation study and by a real dataset from the actuarial context. (C) 2014 Elsevier B.V. All rights reserved.
Original languageEnglish
JournalInsurance: Mathematics and Economics
Volume57
Pages (from-to)46-57
ISSN0167-6687
DOIs
Publication statusPublished - 2014

Cite this

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title = "Robust and bias-corrected estimation of the coefficient of tail dependence",
abstract = "We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is obtained by fitting a second order model to the data by means of the minimum density power divergence criterion. The asymptotic properties of the estimator are investigated. The efficiency of our methodology is illustrated on a small simulation study and by a real dataset from the actuarial context. (C) 2014 Elsevier B.V. All rights reserved.",
author = "C. Dutang and Y. Goegebeur and A. Guillou",
year = "2014",
doi = "10.1016/j.insmatheco.2014.05.003",
language = "English",
volume = "57",
pages = "46--57",
journal = "Insurance: Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier",

}

Robust and bias-corrected estimation of the coefficient of tail dependence. / Dutang, C.; Goegebeur, Y.; Guillou, A.

In: Insurance: Mathematics and Economics, Vol. 57, 2014, p. 46-57.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Robust and bias-corrected estimation of the coefficient of tail dependence

AU - Dutang, C.

AU - Goegebeur, Y.

AU - Guillou, A.

PY - 2014

Y1 - 2014

N2 - We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is obtained by fitting a second order model to the data by means of the minimum density power divergence criterion. The asymptotic properties of the estimator are investigated. The efficiency of our methodology is illustrated on a small simulation study and by a real dataset from the actuarial context. (C) 2014 Elsevier B.V. All rights reserved.

AB - We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is obtained by fitting a second order model to the data by means of the minimum density power divergence criterion. The asymptotic properties of the estimator are investigated. The efficiency of our methodology is illustrated on a small simulation study and by a real dataset from the actuarial context. (C) 2014 Elsevier B.V. All rights reserved.

U2 - 10.1016/j.insmatheco.2014.05.003

DO - 10.1016/j.insmatheco.2014.05.003

M3 - Journal article

VL - 57

SP - 46

EP - 57

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

ER -