COPULA'S APPROXIMATIONS: APPLICATION TO QUANTILE ESTIMATION

Andrés Cuberos (1) , Esterina Masiello (2) , Véronique Maume-Deschamps (2)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 ICJ - Institut Camille Jordan

Estimating high level quantiles of aggregated variables (mainly sums or weighted sums) is crucial in risk management for many application fields such as finance, insurance, environment... This question has been widely treated but new efficient methods are always welcome; especially if they apply in (relatively) high dimension. We propose an estimation procedure based on the checkerboard copula. It allows to get good estimations from a (quite) small sample of the multivariate law and a full knowledge of the marginal laws. This situation is realistic for many applications. Estimations may be improved by including in the checkerboard copula some additional information (on the law of a sub-vector or on extreme probabilities). Our approach is illustrated by numerical examples.

Mots clés: empirical copulas; Risk aggregation; checkerboard copulas; quantile estimation.

Domaines: Statistiques [math.ST]

Andrés Cuberos, Esterina Masiello, Véronique Maume-Deschamps. COPULA'S APPROXIMATIONS: APPLICATION TO QUANTILE ESTIMATION. 2015. ⟨hal-01201838v1⟩