Estimation of the marginal expected shortfall under asymptotic independence

DOI10.1111/sjos.12397zbMath1444.62071arXiv1709.04285OpenAlexW2963664681MaRDI QIDQ5108972

Juan-Juan Cai, Eni Musta

Publication date: 7 May 2020

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.04285

zbMATH Keywords

asymptotic independencetail dependence coefficientmarginal expected shortfall

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12)

Related Items (7)

Conditional marginal expected shortfall ⋮ Asymptotic results on marginal expected shortfalls for dependent risks ⋮ Statistical inference for tail-based cumulative residual entropy ⋮ Estimation of the expected shortfall given an extreme component under conditional extreme value model ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Dependent conditional tail expectation for extreme levels ⋮ Empirical tail conditional allocation and its consistency under minimal assumptions

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