Article ID Journal Published Year Pages File Type
5077568 Insurance: Mathematics and Economics 2007 9 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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