Skewed bivariate models and nonparametric estimation for the CTE risk measure

By Catalina Bolancé, Montserrat Guillén, E. Pelican, Raluca Vernic. 2008

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Skewed distributions in finance and actuarial science: a review (2015, methodology): “Furthermore, a number of empirical studies consider the skew-normal distribution, especially in a goodnessof-fit context (Bolance et al. 2008; Eling 2012).”
Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? (2012, methodology): “This work is related to Bolance et al. (2008), who fit the skew-normal and log skew-normal to a set of bivariate claims data from the Spanish motor insurance industry.”
Skew mixture models for loss distributions: a Bayesian approach (2012, methodology): “Recently Bolance et al. (2008) provides strong empirical evidence in favor of the use of the Skew Normal, and log-Skew Normal distributions to model bivariate claims data from the Spanish motor insurance industry, while Ahn et al. (2012) use the log Phase-type distribution as a parametric…”