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
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