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
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
Journal title :
Insurance Mathematics and Economics