Testing extreme value copulas to estimate the quantile

Testing weather or not data belongs could been generated by a family of extreme value copulas is difficult. We generalize a test and we prove that it can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have motivated by a bivariate sample of losses from a real database of auto insurance claims. Methods are implemented in R.

Coherent forecasting of multiple-decrement life tables: a test using Japanese cause of death data

Planners in public and private institutions would like coherent forecasts of the components of age-specic mortality, such as causes of death. This has been di cult toachieve because the relative values of the forecast components often fail to behave ina way that is coherent with historical experience. In addition, when the group forecasts are combined the result is often incompatible with an all-groups forecast. It hasbeen shown that cause-specic mortality forecasts are pessimistic when compared withall-cause forecasts (Wilmoth, 1995). This paper abandons the conventional approachof using log mortality rates and forecasts the density of deaths in the life table. Sincethese values obey a unit sum constraint for both conventional single-decrement life tables (only one absorbing state) and multiple-decrement tables (more than one absorbingstate), they are intrinsically relative rather than absolute values across decrements aswell as ages. Using the methods of Compositional Data Analysis pioneered by Aitchison(1986), death densities are transformed into the real space so that the full range of multivariate statistics can be applied, then back-transformed to positive values so that theunit sum constraint is honoured. The structure of the best-known, single-decrementmortality-rate forecasting model, devised by Lee and Carter (1992), is expressed incompositional form and the results from the two models are compared. The compositional model is extended to a multiple-decrement form and used to forecast mortalityby cause of death for Japan

La retorica delle sarabandes : ricerca retorica nelle prime tre sarabandes delle Sechs Partiten für klavier di J. S. Bach

La presente tesi di ricerca si propone di studiare la danza della sarabanda come capolavoro di musica, retorica e poesia in tre delle Sechs Partiten für klavier di J. S. Bach (BWV 825-830). Lo studio svolto è fondamentalmente di tipo retorico: permette di individuare e interpretare la struttura oratorialepoetica del discorso letterario-musicale nelle tre danze scelte e di imarcarne i suoi aspetti più salienti di ritmica e ornatus. L’approccio permette di osservare, con uno sguardo di comparazione, la presenza di un percorso retorico comune alle tre sarabande, che evolve con gradualità, differenziandole nettamente: ciò riesce a valorizzare a pieno la danza nella sua forza ed efficacia espressiva, che la rende di fatto il movimento di massima commozione di ogni Partita.