Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077568 | Insurance: Mathematics and Economics | 2007 | 9 Pages |
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
Alexandru V. Asimit, Bruce L. Jones,