A Weissman-type estimator of the conditional marginal expected shortfall

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

*Kontaktforfatter

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Abstrakt

The marginal expected shortfall is an important risk measure in finance and actuarial science, which has been extended recently to the case where the random variables of main interest are observed together with a covariate. This leads to the concept of conditional marginal expected shortfall for which an estimator is proposed allowing extrapolation outside the data range. The main asymptotic properties of this estimator have been established, using empirical processes arguments combined with the multivariate extreme value theory. The finite sample behavior of the proposed estimator is evaluated with a simulation experiment, and the practical applicability is illustrated on vehicle insurance customer data.

OriginalsprogEngelsk
TidsskriftEconometrics and Statistics
ISSN2468-0389
DOI
StatusE-pub ahead of print - okt. 2021

Bibliografisk note

Funding Information:
The authors would like to thank the referees, the Associate Editor and editor for their helpful comments. The research of Armelle Guillou was supported by the French National Research Agency under the grant ANR-19-CE40-0013-01/ExtremReg project and an International Emerging Action (IEA-00179). Computation/simulation for the work described in this paper was supported by the DeIC National HPC Centre, SDU.

Publisher Copyright:
© 2021 EcoSta Econometrics and Statistics

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