Article ID Journal Published Year Pages File Type
5077462 Insurance: Mathematics and Economics 2008 7 Pages PDF
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 P{X>x,Y>y} and the conditional probability P{Y>y|X>x}, for x,y large.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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