Tail asymptotic results for elliptical distributions

Enkelejd Hashorva

Insurance: Mathematics and Economics, 2008, vol. 43, issue 1, 158-164

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 and the conditional probability , for x,y large.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:1:p:158-164

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