Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory

Elena Di Bernardino () and Didier Rulliere ()
Additional contact information
Elena Di Bernardino: CEDRIC - Centre d'études et de recherche en informatique et communications - ENSIIE - Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise - CNAM - Conservatoire National des Arts et Métiers [CNAM]

Post-Print from HAL

Abstract: In this paper, we propose a parametric model for multivariate distributions. The model is based on distortion functions, i.e. some transformations of a multivariate distribution which permit to generate new families of multivariate distribution functions. We derive some properties of considered distortions. A suitable proximity indicator between level curves is introduced in order to evaluate the quality of candidate distortion parameters. Using this proximity indicator and properties of distorted level curves, we give a speci c estimation procedure. The estimation algorithm is mainly relying on straightforward univariate optimizations, and we nally get parametric representations of both multivariate distribution functions and associated level curves. Our results are motivated by applications in multivariate risk theory. The methodology is illustrated on simulated and real examples.

Keywords: Multivariate risk measures; Multivariate probability distortions; Level sets estimation; Iterated compositions; Hyperbolic conversion functions; Multivariate risk measures. (search for similar items in EconPapers)
Date: 2013-05-04
New Economics Papers: this item is included in nep-ecm and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00750873v4
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Published in Insurance: Mathematics and Economics, 2013, 53, pp.190-205. ⟨10.1016/j.insmatheco.2013.05.001⟩

Downloads: (external link)
https://hal.science/hal-00750873v4/document (application/pdf)

Related works:
Journal Article: Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00750873

DOI: 10.1016/j.insmatheco.2013.05.001

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().