期刊名称：SORT-Statistics and Operations Research Transactions
印刷版ISSN：2013-8830
出版年度：2014
卷号：38
期号：1
页码：89-102
语种：Catalan
出版社：SORT- Statistics and Operations Research Transactions
摘要：We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have been motivated by a bivariate sample of losses from a real database of auto Insurance claims.
关键词：Extreme value copula;extreme value distributions;quantile
