Estimation of conditional laws given an extreme component

Author:

Fougères Anne-Laure,Soulier Philippe

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Reference33 articles.

1. Abdous, B., Fougères, A.-L., Ghoudi, K.: Extreme behaviour for bivariate elliptical distributions. Can. J. Stat. 33(2), 1095-1107 (2005)

2. Abdous, B, Fougères, A.-L., Ghoudi, K., Soulier, P.: Estimation of bivariate excess probabilities for elliptical models. Bernoulli 14(4):1065-1088 (2008)

3. Alink, S., Löwe, M., Wüthrich, M.V.: Diversification of aggregate dependent risks. Insur., Math. Econ. 35(1):77-95 (2004). ISSN 0167-6687

4. Araujo, A., Giné, E.: The central limit theorem for real and Banach valued random variables. In: Wiley Series in Probability and Mathematical Statistics. Wiley, New York (1980)

5. Asimit, A.V., Li, D., Peng, L.: Pitfalls in using Weibull tailed distributions. J. Stat. Plan. Inference 140(7), 2018-2024 (2010)

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