Conditional marginal expected shortfall

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

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Abstrakt

In the context of bivariate random variables (Y(1), Y(2)) , the marginal expected shortfall, defined as E(Y(1)| Y(2)≥ Q2(1 − p)) for p small, where Q2 denotes the quantile function of Y(2), is an important risk measure, which finds applications in areas like, e.g., finance and environmental science. Our paper pioneers the statistical modeling of this risk measure when the random variables of main interest (Y(1), Y(2)) are observed together with a random covariate X, leading to the concept of the conditional marginal expected shortfall. The asymptotic behavior of an estimator for this conditional marginal expected shortfall is studied for a wide class of conditional bivariate distributions, with heavy-tailed marginal conditional distributions, and where p tends to zero at an intermediate rate. The finite sample performance is evaluated on a small simulation experiment. The practical applicability of the proposed estimator is illustrated on flood claim data.

OriginalsprogEngelsk
TidsskriftExtremes
ISSN1386-1999
DOI
StatusE-pub ahead of print - 6. maj 2021

Bibliografisk note

Funding Information:
The authors would like to thank the referees and Associate 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, The Author(s), under exclusive licence to Springer Science+Business Media, LLC part of Springer Nature.

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