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4 papers · 1 filter
Adjustment coefficient for risk processes in some dependent contexts
H. Cossette, E. Marceau, V. Maume-Deschamps
Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coeffici…
Asymptotic local efficiency of Cramér--von Mises tests for multivariate independence
Christian Genest, Jean-François Quessy, Bruno Rémillard
Deheuvels [J. Multivariate Anal. 11 (1981) 102--113] and Genest and Rémillard [Test 13 (2004) 335--369] have shown that powerful rank tests of multivariate independence can be base…
Rank-based inference for bivariate extreme-value copulas
Christian Genest, Johan Segers
Consider a continuous random pair whose dependence is characterized by an extreme-value copula with Pickands dependence function . When the marginal distributions of …
Estimation of bivariate excess probabilities for elliptical models
Belkacem Abdous, Anne-Laure Fougères, Kilani Ghoudi +1
Let be a random vector whose conditional excess probability is of interest. Estimating this kind of probability is a delicate problem as soon as…