Tail asymptotic results for elliptical distributions

DOI10.1016/J.INSMATHECO.2008.04.005zbMATH Open1145.62040arXiv0708.1965OpenAlexW2007525460MaRDI QIDQ938049FDOQ938049

Authors: Enkelejd Hashorva 

Publication date: 18 August 2008

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

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.

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

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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)

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Cited In (16)

• Asymptotics of the norm of elliptical random vectors
• Tail conditional moments for elliptical and log-elliptical distributions
• Extreme behaviour for bivariate elliptical distributions
• New results on truncated elliptical distributions
• Extremes of asymptotically spherical and elliptical random vectors
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• Tails of correlation mixtures of elliptical copulas
• Title not available (Why is that?)
• On the regular variation of elliptical random vectors
• Extreme behavior of bivariate elliptical distributions
• Multivariate density estimation using dimension reducing information and tail flattening trans\-formations
• On conditional extreme values of random vectors with polar representation
• 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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