Estimation of the Marginal Expected Shortfall: the Mean When a Related Variable is Extreme

DOI10.1111/rssb.12069zbMath1414.91433OpenAlexW2106868358MaRDI QIDQ5378122

Chen Zhou, Juan-Juan Cai, John H. J. Einmahl, Laurens De Haan

Publication date: 12 June 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/ws/files/1451507/2012-080.pdf

zbMATH Keywords

asymptotic normalityextreme valuesconditional tail expectation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Financial applications of other theories (91G80)

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