Tail asymptotic results for elliptical distributions

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

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

conditional quantile function elliptical random vector Gumbel max-domain of attraction second order asymptotic expansion

Mathematics Subject Classification ID

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

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.

Review text

Let \((S_1,S_2)\) be a bivariate spherical random vector with associate random radius \(R=\sqrt {S_1^2+S_2^2}\). Let \((X,Y)\) be a bivariate elliptical random vector with the stochastic representation \[ (X,Y) \overset {d}= (S_1,\rho S_1+\sqrt{1-\rho^2}S_2), \quad \rho \in [0,1). \] Assuming that the distribution function of the radius \(R\) is in the Gumbel max-domain of attraction, the author obtains a second order asymptotic expansion of the joint survival probability \(\mathbf P\{X>x,Y>y\}\) and the conditional probability \(\mathbf P\{X>x\mid Y>y\}\) for \(x,y\) large. Illustrating examples are also given.

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