Conditional marginal expected shortfall

DOI10.1007/S10687-020-00403-1zbMATH Open1482.62105OpenAlexW2970871209MaRDI QIDQ826003FDOQ826003

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

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zbMATH Keywords

empirical processtail dependencemarginal expected shortfallPareto-type distribution

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)

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Cited In (5)

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

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