TY - JOUR
T1 - Modeling of censored bivariate extremal events
AU - Hashorva, Enkelejd
AU - Ling, Chengxiu
AU - Peng, Zuoxiang
N1 - Funding Information:
We are in debt to the referee of the paper for numerous comments and suggestions which improved the content significantly. E. Hashorva and C. Ling acknowledge partial support from the Swiss National Science Foundation Grants 200021-1401633/1 and 200021-134785 and the project RARE-318984 (a Marie Curie IRSES Fellowship within the 7th European Community Framework Programme). Z. Peng has been supported by the National Natural Science Foundation of China under grant 11171275 and the Natural Science Foundation Project of CQ under cstc2012jjA00029.
PY - 2014/9
Y1 - 2014/9
N2 - In this paper we consider the estimation of the coefficient of tail dependence and of small tail probability under a bivariate randomly censoring mechanism. A new class of generalized moment estimators of the coefficient of tail dependence and the estimator of small tail probability are proposed, respectively. Under the bivariate Hall-type conditions, the asymptotic distributions of these estimators are established. Monte Carlo simulations are performed and the new estimators are applied to an insurance data-set.
AB - In this paper we consider the estimation of the coefficient of tail dependence and of small tail probability under a bivariate randomly censoring mechanism. A new class of generalized moment estimators of the coefficient of tail dependence and the estimator of small tail probability are proposed, respectively. Under the bivariate Hall-type conditions, the asymptotic distributions of these estimators are established. Monte Carlo simulations are performed and the new estimators are applied to an insurance data-set.
KW - Bivariate Hall-class
KW - Coefficient of tail dependence
KW - Concomitant order statistics
KW - Large claims
KW - Randomly censoring
KW - Small tail probability
UR - https://www.scopus.com/pages/publications/84904737610
U2 - 10.1016/j.jkss.2013.10.004
DO - 10.1016/j.jkss.2013.10.004
M3 - Article
AN - SCOPUS:84904737610
SN - 1226-3192
VL - 43
SP - 323
EP - 338
JO - Journal of the Korean Statistical Society
JF - Journal of the Korean Statistical Society
IS - 3
ER -