  Let $(X,Y)$ be a random vector whose conditional excess probability
$\theta(x,y):=P(Y\leq y | X>x)$ is of interest. Estimating this kind of
probability is a delicate problem as soon as $x$ tends to be large, since the
conditioning event becomes an extreme set. Assume that $(X,Y)$ is elliptically
distributed, with a rapidly varying radial component. In this paper, three
statistical procedures are proposed to estimate $\theta(x,y)$ for fixed $x,y$,
with $x$ large. They respectively make use of an approximation result of Abdous
et al. (cf. Canad. J. Statist. 33 (2005) 317--334, Theorem 1), a new second
order refinement of Abdous et al.'s Theorem 1, and a non-approximating method.
The estimation of the conditional quantile function
$\theta(x,\cdot)^{\leftarrow}$ for large fixed $x$ is also addressed and these
methods are compared via simulations. An illustration in the financial context
is also given.
