3 citations · 9 across the 20 of their papers we have counts for
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Copula representation of bivariate L-moments : A new estimation method for multiparameter 2-dimentional copula models
Brahim Brahimi, Fateh Chebana, Abdelhakim Necir
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting. In the present paper, we focus on the two-dimension random vectors to e…
Distortion risk measures for sums of dependent losses
Brahim Brahimi, Djamel Meraghni, Abdelhakim Necir
We discuss two distinct approaches, for distorting risk measures of sums of dependent random variables, which preserve the property of coherence. The first, based on distorted expe…
Coupled risk measures and their empirical estimation when losses follow heavy-tailed distributions
Abdelhakim Necir, Ričardas Zitikis
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, pract…
A semiparametric estimation of copula models based on the method of moments
Brahim Brahimi, Abdelhakim Necir
Using the classical estimation method of moments, we propose a new semiparametric estimation procedure for multi-parameter copula models. Consistency and asymptotic normality of th…