Conditional limit results for type I polar distributions

DOI10.1007/s10687-008-0078-yzbMath1224.60031arXiv0810.1547OpenAlexW3102349155MaRDI QIDQ626293

Enkelejd Hashorva

Publication date: 22 February 2011

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.1547

zbMATH Keywords

tail asymptoticselliptical distributionGumbel max-domain of attractionestimation of conditional distribution

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (16)

Minima and maxima of elliptical arrays and spherical processes ⋮ Complete asymptotic expansions for normal extremes ⋮ Estimation of conditional laws given an extreme component ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Tail behavior of the product of two dependent random variables with applications to risk theory ⋮ Asymptotics of random contractions ⋮ On conditional extreme values of random vectors with polar representation ⋮ Limit Conditional Distributions for Bivariate Vectors with Polar Representation ⋮ Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model ⋮ Maxima of skew elliptical triangular arrays ⋮ On the residual dependence index of elliptical distributions ⋮ Conditional limits of \(W_{p}\) scale mixture distributions ⋮ On Pearson-Kotz Dirichlet distributions ⋮ Tails of correlation mixtures of elliptical copulas ⋮ Asymptotic behaviour of multivariate default probabilities and default correlations under stress ⋮ Estimate for the Finite-time Ruin Probability in the Discrete-time Risk Model with Insurance and Financial Risks

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