A Weissman-type estimator of the conditional marginal expected shortfall

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

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

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.

Original languageEnglish
JournalEconometrics and Statistics
Volume27
Pages (from-to)173-196
ISSN2468-0389
DOIs
Publication statusPublished - Jul 2023

Keywords

  • Conditional marginal expected shortfall
  • extrapolation
  • Pareto-type distribution

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