Estimation of the marginal expected shortfall: the mean when a related variable is extreme

DOI10.1111/RSSB.12069zbMATH Open1414.91433OpenAlexW2106868358MaRDI QIDQ5378122FDOQ5378122

Authors: Juan-Juan Cai, John H. J. Einmahl, Chen Zhou, 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

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zbMATH Keywords

asymptotic normalityextreme valuesconditional tail expectation

Mathematics Subject Classification ID

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

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• Estimation of the multivariate conditional tail expectation for extreme risk levels: illustration on environmental data sets
• Tail expectile process and risk assessment
• Joint inference on extreme expectiles for multivariate heavy-tailed distributions
• Statistical inference for tail-based cumulative residual entropy
• Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
• On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
• Extremes for coherent risk measures
• A refined Weissman estimator for extreme quantiles
• Asymptotics for systemic risk with dependent heavy-tailed losses
• On the estimation of extreme directional multivariate quantiles
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• An asymptotic study of systemic expected shortfall and marginal expected shortfall
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• Dependent conditional tail expectation for extreme levels
• Asymptotics of sum of heavy-tailed risks with copulas
• Estimation of extreme quantiles from heavy-tailed distributions with neural networks
• Extremiles: A New Perspective on Asymmetric Least Squares
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• Computing (Bivariate) Poisson Moments Using Stein–Chen Identities
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• Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
• Tail risk inference via expectiles in heavy-tailed time series
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• Measuring the tail risk: an asymptotic approach
• Asymptotics of the loss-based tail risk measures in the presence of extreme risks
• Estimation of marginal excess moments for Weibull-type distributions
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• Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error

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