Conditional marginal expected shortfall

DOI10.1007/S10687-020-00403-1MaRDI QIDQ826003zbMATH OpenOpenAlexFDO

Authors Yuri Goegebeur, Armelle Guillou, Nguyen Khanh Le Ho, Jing Qin

Publication date 18 December 2021

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-020-00403-1

zbMATH Keywords

empirical processmarginal expected shortfallPareto-type distributiontail dependence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Estimation of the expected shortfall given an extreme component under conditional extreme value model
• Non-parametric estimation of extreme risk measures from conditional heavy-tailed distributions
• Estimation of the marginal expected shortfall under asymptotic independence
• Estimation of the marginal expected shortfall: the mean when a related variable is extreme
• Risk contagion under regular variation and asymptotic tail independence

Cites work

• A local moment type estimator for the extreme value index in regression with random covariates
• Asymptotic Statistics
• Bias-corrected estimation for conditional Pareto-type distributions with random right censoring
• Coherent measures of risk
• Conditional excess risk measures and multivariate regular variation
• Conditional tail expectations for multivariate phase-type distributions
• Estimation of Parameters and Larger Quantiles Based on the k Largest Observations
• Estimation of the marginal expected shortfall under asymptotic independence
• Estimation of the marginal expected shortfall: the mean when a related variable is extreme
• Extreme Quantile Estimation Based on the Tail Single-index Model
• Extreme value theory. An introduction.
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3578172 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• scientific article; zbMATH DE number 3222478 (Why is no real title available?)
• Kernel estimators of extreme level curves
• Local Estimation of the Conditional Stable Tail Dependence Function
• Local Polynomial Estimation in Multiparameter Likelihood Models
• Local robust and asymptotically unbiased estimation of conditional Pareto-type tails
• Local robust estimation of the Pickands dependence function
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• On kernel smoothing for extremal quantile regression
• Regression-type models for extremal dependence
• Risk contagion under regular variation and asymptotic tail independence
• Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
• Tail Conditional Expectations for Elliptical Distributions
• Tail dimension reduction for extreme quantile estimation
• Tail risk of multivariate regular variation
• Time-varying extreme value dependence with application to leading European stock markets
• Weak convergence and empirical processes. With applications to statistics

Cited in

(5)

• Nonparametric estimation of conditional marginal excess moments
• Estimation of the expected shortfall given an extreme component under conditional extreme value model
• Estimation of the marginal expected shortfall under asymptotic independence
• Estimation of the marginal expected shortfall: the mean when a related variable is extreme
• Robust estimation of the conditional stable tail dependence function

This page was built for publication: Conditional marginal expected shortfall

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q826003)