Tail asymptotic results for elliptical distributions

DOI10.1016/J.INSMATHECO.2008.04.005MaRDI QIDQ938049zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva

Publication date 18 August 2008

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.1965

zbMATH Keywords

Gumbel max-domain of attractionconditional quantile functionelliptical random vectorsecond order asymptotic expansion

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

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) for x,y large. Further, based on the asymptotic bounds we discuss some aspects of the statistical modelling of joint survival probabilities and the survival conditional excess probability.

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Cited in

(16)

• Asymptotics of the norm of elliptical random vectors
• Tail conditional moments for elliptical and log-elliptical distributions
• New results on truncated elliptical distributions
• Extreme behaviour for bivariate elliptical distributions
• Extremes of asymptotically spherical and elliptical random vectors
• Tails of correlation mixtures of elliptical copulas
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• Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
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• Asymptotic properties of type I elliptical random vectors
• Estimation of bivariate excess probabilities for elliptical models
• Conditional limit results for type I polar distributions
• Bivariate tail conditional co-expectation for elliptical distributions

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