Skewed bivariate models and nonparametric estimation for the CTE risk measure
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.
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