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English

Testing for Concordance Ordering

Contributors

Cebrian, Ana C.; Denuit, Michel; Scaillet, Olivier

Published in

ASTIN bulletin, vol. 34, no. 1, p. 151-173

Collection

  • Open Access - Licence nationale Cambridge University Press

Publication date

2004

Abstract

We propose inference tools to analyse the ordering of concordance of random vectors. The analysis in the bivariate case relies on tests for upper and lower quadrant dominance of the true distribution by a parametric or semiparametric model, i.e. for a parametric or semiparametric model to give a probability that two variables are simultaneously small or large at least as great as it would be were they left unspecified. Tests for its generalisation in higher dimensions, namely joint lower and upper orthant dominance, are also analysed. The parametric and semiparametric setting are based on the copula representation for multivariate distribution, which allows for disentangling behaviour of margins and dependence structure. We propose two types of testing procedures for each setting. The first procedure is based on a formuation of the dominance concepts in terms of values taken by random variables, while the second procedure is based on a formulation in terms of probability levels. For each formulation a distance test and an intersection-union test for inequality constraints are developed depending on the definition of null and alternative hypotheses. An empirical illustration is given for US insurance claim data.

Keywords

  • Nonparametric
  • Concordance (Correlation) Order
  • Quadrant Dominance
  • Orthant Dominance
  • Copula
  • Inequality Constraint Tests
  • Risk Management
  • Loss Severity Distribution

UNIGE affiliation entities

Citation (ISO format)

CEBRIAN, Ana C., DENUIT, Michel, SCAILLET, Olivier. Testing for Concordance Ordering. In: ASTIN bulletin, 2004, vol. 34, n° 1, p. 151–173. doi: 10.1017/S0515036100013933

Main files (2)

Article (Accepted version)
Article (Published version)
OA NATIONAL

Identifiers

Journal ISSN

0515-0361
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1665downloads

Technical informations

Creation

15/04/2010 12:20:25

First validation

15/04/2010 12:20:25

Update

14/03/2023 15:26:43

Status update

14/03/2023 15:26:42

Last indexation

29/10/2024 14:23:56
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