Exact tail asymptotics in bivariate scale mixture models
From MaRDI portal
Publication:906633
DOI10.1007/s10687-011-0129-7zbMath1329.60150arXiv0904.0966MaRDI QIDQ906633
Publication date: 22 January 2016
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.0966
tail asymptotics; excess distribution; Davis-Resnick tail property; Dirichlet distributions; Gumbel max-domain of attraction; exact asymptotics; elliptically symmetric distributions; conditional excess distributions; residual tail dependence index; elliptical random vectors; conditional limiting theorems
60F05: Central limit and other weak theorems
60G70: Extreme value theory; extremal stochastic processes
Related Items
Aggregation of log-linear risks, Maxima of skew elliptical triangular arrays, Parisian ruin over a finite-time horizon, Geometric interpretation of the residual dependence coefficient, Modeling of censored bivariate extremal events, Extremes of aggregated Dirichlet risks, On conditional extreme values of random vectors with polar representation, Asymptotic expansion of Gaussian chaos via probabilistic approach, Conditional limit results for type I polar distributions, Conditional limiting distribution of beta-independent random vectors, Tail asymptotic results for elliptical distributions, On the residual dependence index of elliptical distributions, Asymptotic properties of type I elliptical random vectors, Asymptotics for Kotz type III elliptical distributions, Extremes and products of multivariate AC-product risks, On the use of bivariate Mellin transform in bivariate random scaling and some applications, ECOMOR and LCR reinsurance with gamma-like claims, Second order asymptotics of aggregated log-elliptical risk, Limit Laws for Maxima of Contracted Stationary Gaussian Sequences, Weakening the independence assumption on polar components: limit theorems for generalized elliptical distributions, Tail asymptotic of Weibull-type risks, Extremes and First Passage Times of Correlated Fractional Brownian Motions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Statistical models and methods for dependence in insurance data
- Smoothed jackknife empirical likelihood method for tail copulas
- Conditional limit results for type I polar distributions
- Detecting a conditional extreme value model
- Asymptotics of random contractions
- Parametric tail copula estimation and model testing
- On the residual dependence index of elliptical distributions
- Asymptotic properties of type I elliptical random vectors
- Testing asymptotic independence in bivariate extremes
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- A note on multivariate Gaussian estimates
- Sojourns and extremes of Fourier sums and series with random coefficients
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- On the theory of elliptically contoured distributions
- Approximate distributions of order statistics. With applications to nonparametric statistics
- Extreme values in FGM random sequences
- Conditional limits of \(W_{p}\) scale mixture distributions
- Tails of correlation mixtures of elliptical copulas
- A Law of Large Numbers for the Maximum in a Stationary Gaussian Sequence
- Regularly varying functions
- Identification of the parameters of a multivariate normal vector by the distribution of the maximum
