• Title of article

    Extreme behavior of bivariate elliptical distributions

  • Author/Authors

    Asimit، نويسنده , , Alexandru V. and Jones، نويسنده , , Bruce L.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    9
  • From page
    53
  • To page
    61
  • Abstract
    This paper exploits a stochastic representation of bivariate elliptical distributions in order to obtain asymptotic results which are determined by the tail behavior of the generator. Under certain specified assumptions, we present the limiting distribution of componentwise maxima, the limiting upper copula, and a bivariate version of the classical peaks over threshold result.
  • Keywords
    Regular variation , Threshold exceedances , Elliptical distribution , Componentwise maxima , Pickands’ representation
  • Journal title
    Insurance Mathematics and Economics
  • Serial Year
    2007
  • Journal title
    Insurance Mathematics and Economics
  • Record number

    1543324