Extreme behavior of bivariate elliptical distributions

DOI10.1016/J.INSMATHECO.2006.09.002zbMATH Open1117.60014OpenAlexW3121646648MaRDI QIDQ997082FDOQ997082

Authors: Alexandru V. Asimit, Bruce L. Jones 

Publication date: 19 July 2007

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13143/1/Asimit%20and%20Jones%202006b%20Revised.pdf

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zbMATH Keywords

threshold exceedanceselliptical distributionregular variationPickands' representationcomponentwise maxima

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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• Extreme behaviour for bivariate elliptical distributions
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• Domains of attraction of multivariate extreme value distributions
• A statistic for testing the null hypothesis of elliptical symmetry

Cited In (12)

• A method of moments estimator of tail dependence in meta-elliptical models
• Extreme behaviour for bivariate elliptical distributions
• On Pearson-Kotz Dirichlet distributions
• Tail dependence measure for examining financial extreme co-movements
• Estimating the probability of a rare event via elliptical copulas
• Bivariate extreme statistics. II
• Tails of correlation mixtures of elliptical copulas
• Bivariate distributions with given extreme value attractor
• Rejoinder: Statistical models and methods for dependence in insurance data
• Tail asymptotic results for elliptical distributions
• Asymptotic ruin probabilities for a bidimensional renewal risk model with constant interest rate and dependent claims
• Extremes of conditioned elliptical random vectors

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