Traditionally, claim counts and amounts are assumed to be independent in non-life insurance. This paper explores how this oft unwarranted assumption can be r...

In order to determine the risk capital for their aggregate portfolio, property and casualty insurance companies must fit a multivariate model to the loss tri...

Two bivariate extensions of the Skellam distribution were proposed by Genest and Mesfioui (2014), who also derived moment estimators for their dependence par...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on omnibus proced...

This paper proposes new tests of randomness for innovations of a large class of time series models. These tests are based on functionals of empirical proces...

In testing that a particular distribution <img src="/cgi-bin/mimetex.cgi?P"> belongs to a parameterized family <img src="/cgi-bin/mimetex.cgi?\cal{P}">, one ...

Deheuvels (1981a,b,c) and Genest and Rémillard (2004) have shown that powerful rank tests of multivariate independence can be based on combinations of asymp...

Deheuvels proposed a rank test of independence based on a Cramér–von Mises functional of the empirical copula process. Using a general result on the asympto...

Rank-based estimators were proposed by Clayton (1978) and Oakes (1982) for the association parameter in the bivariate gamma frailty model. The joint asympto...

An approach is suggested for testing whether the dependence structure of a random sample of multivariate data is appropriately modelled by a given family of ...

Exploiting an overlooked observation of Blum, Kiefer & Rosenblatt (1961), Dugué (1975) and Deheuvels (1981a) described a decomposition of empirical distribu...

This paper introduces new rank-based statistics for testing against serial dependence in a univariate time series context. These Kolmogorov-Smirnov and Cram...