most citedTail Asymptotics and Estimation for Elliptical Distributions

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math.PR2007★ 1 cited

Tail Asymptotics and Estimation for Elliptical Distributions

Enkelejd Hashorva

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…

math.PR2006

On the asymptotic distribution of certain bivariate reinsurance treaties

Enkelejd Hashorva

Let (X_n,Y_n), n\ge 1 be bivariate random claim sizes with common distribution function F and let N(t), t \ge 0 be a stochastic process which counts the number of claims that occur…