Modeling of censored bivariate extremal events

Enkelejd Hashorva, Chengxiu Ling*, Zuoxiang Peng

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)323-338
Number of pages16
JournalJournal of the Korean Statistical Society
Issue number3
Publication statusPublished - Sept 2014
Externally publishedYes


  • Bivariate Hall-class
  • Coefficient of tail dependence
  • Concomitant order statistics
  • Large claims
  • Randomly censoring
  • Small tail probability

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