Tail asymptotics for the bivariate equi-skew Variance-Gamma distribution

Thomas Fung; Eugene Seneta

Tail asymptotics for the bivariate equi-skew Variance-Gamma distribution

Statistics Theory 2020-10-14 v1 Statistics Theory

Authors: Thomas Fung , Eugene Seneta

Abstract

We derive the asymptotic rate of decay to zero of the tail dependence of the bivariate skew Variance Gamma (VG) distribution under the equal-skewness condition, as an explicit regularly varying function. Our development is in terms of a slightly more general bivariate skew Generalized Hyperbolic (GH) distribution. Our initial reduction of the bivariate problem to a univariate one is motivated by our earlier study of tail dependence rate for the bivariate skew normal distribution

Keywords

heavy-tailed distributions

Cite

@article{arxiv.2010.06153,
  title  = {Tail asymptotics for the bivariate equi-skew Variance-Gamma distribution},
  author = {Thomas Fung and Eugene Seneta},
  journal= {arXiv preprint arXiv:2010.06153},
  year   = {2020}
}