Modified marginal expected shortfall under asymptotic dependence

DOI10.1093/BIOMET/ASX005MaRDI QIDQ5384458zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic dependenceasymptotic normalityinfinite mean modelmarginal expected shortfalltsunami data

Mathematics Subject Classification ID

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

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Cited in

(5)

• Estimation of the expected shortfall given an extreme component under conditional extreme value model
• Estimation of the marginal expected shortfall under asymptotic independence
• Extreme and Inference for Tail Gini Functionals With Applications in Tail Risk Measurement
• Extreme value techniques for stress scenario selection under elliptical symmetry and beyond
• Marginal expected shortfall inference under multivariate regular variation

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