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Year of publication
Subject
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Concordance ordering 1 Copula 1 Inequality constraint tests 1 Loss severity distribution 1 Nonparametric 1 Orthant dominance 1 Quadrant dominance 1 Risk management 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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CEBRIÁN, Ana C. 1 DENUIT, Michel 1 SCAILLET, Olivier 1
Institution
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Swiss Finance Institute 1
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FAME Research Paper Series 1
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RePEc 1
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Testing for Concordance Ordering
CEBRIÁN, Ana C.; DENUIT, Michel; SCAILLET, Olivier - Swiss Finance Institute - 2002
relies on tests for upper and lower quadrant dominance of the true distribution by a parametric or semiparametric model, i … between small and large observed losses. 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 …
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