Tail asymptotic results for elliptical distributions |
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| Authors: | Enkelejd Hashorva |
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| Affiliation: | aUniversity of Bern, Institute of Mathematical Statistics and Actuarial Sciences, Sidlerstrasse 5, CH-3012 Bern, Switzerland;bAllianz Suisse Insurance Company, Laupenstrasse 27, CH-3001 Bern, Switzerland |
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| 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  and the conditional probability  , for x,y large. |
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| Keywords: | Elliptical random vectors Exact asymptotics Second order bounds Gumbel max-domain of attraction Conditional distribution Conditional quantile function Joint survival probability |
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