Estimation of bivariate excess probabilities for elliptical models

Belkacem Abdous, Anne-Laure Fougères, Kilani Ghoudi +1

Let $(X,Y)$ be a random vector whose conditional excess probability $\theta (x,y):=P(Y\le y|X>x)$ is of interest. Estimating this kind of probability is a delicate problem as soon as…