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Skewed bivariate models and nonparametric estimation for the CTE risk measure

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  • Bolance, Catalina
  • Guillen, Montserrat
  • Pelican, Elena
  • Vernic, Raluca

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.

Suggested Citation

  • Bolance, Catalina & Guillen, Montserrat & Pelican, Elena & Vernic, Raluca, 2008. "Skewed bivariate models and nonparametric estimation for the CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 386-393, December.
    • Handle: RePEc:eee:insuma:v:43:y:2008:i:3:p:386-393
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    References listed on IDEAS

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