Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077462 | Insurance: Mathematics and Economics | 2008 | 7 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Enkelejd Hashorva,