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A new bivariate Poisson common shock model covering all possible degrees of dependence

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  • Genest, Christian
  • Mesfioui, Mhamed
  • Schulz, Juliana

Abstract

A variant of the bivariate Poisson common shock model is proposed which, contrary to the original, spans all possible degrees of dependence. Its basic distributional properties are described, moment-based estimation is studied, and its use is illustrated on real data.

Suggested Citation

  • Genest, Christian & Mesfioui, Mhamed & Schulz, Juliana, 2018. "A new bivariate Poisson common shock model covering all possible degrees of dependence," Statistics & Probability Letters, Elsevier, vol. 140(C), pages 202-209.
    • Handle: RePEc:eee:stapro:v:140:y:2018:i:c:p:202-209
    DOI: 10.1016/j.spl.2018.04.013
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    Citations

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    Cited by:

    1. Farid El Ktaibi & Rachid Bentoumi & Nicola Sottocornola & Mhamed Mesfioui, 2022. "Bivariate Copulas Based on Counter-Monotonic Shock Method," Risks, MDPI, vol. 10(11), pages 1-20, October.
    2. Lluís Bermúdez & Dimitris Karlis, 2022. "Copula-based bivariate finite mixture regression models with an application for insurance claim count data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 1082-1099, December.
    3. Castañer, Anna & Claramunt, M. Mercè & Lefèvre, Claude & Loisel, Stéphane, 2019. "Partially Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 172(C), pages 47-58.
    4. Tariq Saali & Mhamed Mesfioui & Ani Shabri, 2023. "Multivariate Extension of Raftery Copula," Mathematics, MDPI, vol. 11(2), pages 1-15, January.
    5. Juliana Schulz & Christian Genest & Mhamed Mesfioui, 2021. "A multivariate Poisson model based on comonotonic shocks," International Statistical Review, International Statistical Institute, vol. 89(2), pages 323-348, August.

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