Bias-reduced estimators for bivariate tail modelling

J. Beirlant, G. Dierckx and A. Guillou

Insurance: Mathematics and Economics, 2011, vol. 49, issue 1, 18-26

Abstract: Ledford and Tawn (1997) introduced a flexible bivariate tail model based on the coefficient of tail dependence and on the dependence of the extreme values of the random variables. In this paper, we extend the concept by specifying the slowly varying part of the model as done by Hall (1982) with the univariate case. Based on Beirlant et al. (2009), we propose a bias-reduced estimator for the coefficient of tail dependence and for the estimation of small tail probabilities. We discuss the properties of these estimators via simulations and a real-life example. Furthermore, we discuss some theoretical asymptotic aspects of this approach.

Keywords: Extreme; value; theory; Bivariate; slowly; varying; function; Bias; reduction (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:1:p:18-26

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