Tail asymptotic results for elliptical distributions
Details
Serval ID
serval:BIB_CC50E47A024A
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Tail asymptotic results for elliptical distributions
Journal
Insurance: Mathematics and Economics
ISSN
0167-6687
Publication state
Published
Issued date
2008
Peer-reviewed
Oui
Volume
43
Number
1
Pages
158-164
Language
english
Abstract
Let (X, Y) be a bivariate elliptical random vector with associated random radius in the Gumbel max-domain of attraction. In this paper we obtain a second order asymptotic expansion of the joint survival probability P{X > x Y > y) and the conditional probability P{Y > y vertical bar X > x}, for x, y large.
Keywords
Elliptical random vectors, Exact asymptotics, Second order bounds, Gumbel max-domain of attraction, Conditional distribution, Conditional quantile function, Joint survival probability
Web of science
Create date
03/09/2010 10:26
Last modification date
20/08/2019 15:47
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