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Exact tail asymptotics in bivariate scale mixture models

Hashorva, Enkelejd

In: Extremes, 2012, vol. 15, no. 1, p. 109-128

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    Titre
    • Exact tail asymptotics in bivariate scale mixture models
    Auteur
    • Hashorva, Enkelejd. Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, 1015, Lausanne, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Extremes, 2012, vol. 15, no. 1, p. 109-128. Springer US; http://www.springer-ny.com
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:312147
    Summary
    Let (X, Y) = (RU 1, RU 2) be a given bivariate scale mixture random vector, with R > 0 independent of the bivariate random vector (U 1, U 2). In this paper we derive exact asymptotic expansions of the joint survivor probability of (X, Y) assuming that R has distribution function in the Gumbel max-domain of attraction, and (U 1, U 2) has a specific local asymptotic behaviour around some absorbing point. We apply our results to investigate the asymptotic behaviour of joint conditional excess distribution and the asymptotic independence for two models of bivariate scale mixture distributions