Sojourn times and the fragility index (Q765893)

Let \((Y_t)_{t\in[0,1]}\) be a stationary process with continuous sample paths and continuous marginal distribution function \(F\). The authors consider the sojourn time \(S(s)=\int_0^11_{\{Y_t>s\}}dt\) above a threshold \(s\) and its discretized version \(S_n(s)=n^{-1}\sum_{i=1}^n1_{\{Y_{i/n}>s\}}\). The conditional expectation \(FI_n(s)=E(S_n(s)\mid S_n(s)>0)\) is called fragility index and the authors explicitly compute and identify the limit \[ \lim_{n\to\infty}\lim_{s\uparrow\omega(F)}FI_n(s)=\lim_{s\uparrow\omega(F)}E(S(s)\mid S(s)>0) \] under the condition that the copula process \((F(Y_t))_{t\in[0,1]}\) belongs to the functional domain of attraction of a max-stable process, where \(\omega(F)=\sup\{x\in\mathbb R:\,F(x)<1\}\). The presented method further enables to explicitly compute the cumulative expected shortfall \[ ES(s)=E\left(\left.\int_0^1(Y_t-s)1_{\{Y_t>s\}}dt\right| S(s)>0\right). \] The limit result is extended to considering threshold functions instead of the constant threshold \(s\) in certain models for which the copula process is close to a generalized Pareto process. These considerations also enable the authors to compute the limit distribution of the excursion time above a threshold.