Modified marginal expected shortfall under asymptotic dependence

DOI10.1093/BIOMET/ASX005zbMATH Open1506.62295OpenAlexW2590393904MaRDI QIDQ5384458FDOQ5384458

Authors:

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asx005

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zbMATH Keywords

asymptotic normalitymarginal expected shortfallasymptotic dependenceinfinite mean modeltsunami data

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Applications of statistics to environmental and related topics (62P12)

Cited In (3)

• Estimation of the expected shortfall given an extreme component under conditional extreme value model
• Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
• Estimation of the marginal expected shortfall under asymptotic independence

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