Estimation of bivariate excess probabilities for elliptical models

DOI10.3150/08-BEJ140zbMath1155.62042arXivmath/0611914OpenAlexW1991866375MaRDI QIDQ1002536

Kilani Ghoudi, Belkacem Abdous, Anne-Laure Fougères, Philippe Soulier

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611914

zbMATH Keywords

asymptotic independencefinancial contagionconditional excess probabilityelliptic lawrapidly varying tails

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Extreme value analysis of actuarial risks: estimation and model validation ⋮ Conditional limit results for type I polar distributions ⋮ Estimation of conditional laws given an extreme component ⋮ The effect of aggregation on extremes from asymptotically independent light-tailed risks ⋮ Limit Conditional Distributions for Bivariate Vectors with Polar Representation ⋮ On the residual dependence index of elliptical distributions ⋮ Conditional limits of \(W_{p}\) scale mixture distributions ⋮ Tail asymptotics under beta random scaling ⋮ Asymptotic properties of type I elliptical random vectors ⋮ Asymptotics for Kotz type III elliptical distributions ⋮ On the strong Kotz approximation of Dirichlet random vectors

Uses Software

• ismev

Cites Work

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