Skewed bivariate models and nonparametric estimation for the CTE risk measure

Catalina Bolance, Montserrat Guillen, Elena Pelican and Raluca Vernic

Insurance: Mathematics and Economics, 2008, vol. 43, issue 3, 386-393

Abstract: In this paper, we illustrate the use of the Conditional Tail Expectation (CTE) risk measure on a set of bivariate real data consisting of two types of auto insurance claim costs. Several continuous bivariate distributions (normal, lognormal, skew-normal with the alternative log-skew-normal) are fitted to the data. Besides, a bivariate nonparametric transformed kernel estimation is presented. CTE formulas are given for all these, and numerical results on the real data are discussed and compared.

Keywords: Conditional; tail; expectation; Bivariate; distributions; Kernel; estimation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (34)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:3:p:386-393

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