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Modeling of censored bivariate extremal events. (English) Zbl 1306.62209

Summary: 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.

MSC:

62N02 Estimation in survival analysis and censored data
62G32 Statistics of extreme values; tail inference
62G20 Asymptotic properties of nonparametric inference
60G70 Extreme value theory; extremal stochastic processes
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