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A Weissman-type estimator of the conditional marginal expected shortfall

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

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.

Suggested Citation

  • Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2023. "A Weissman-type estimator of the conditional marginal expected shortfall," Econometrics and Statistics, Elsevier, vol. 27(C), pages 173-196.
    • Handle: RePEc:eee:ecosta:v:27:y:2023:i:c:p:173-196
    DOI: 10.1016/j.ecosta.2021.09.006
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    1. Goegebeur, Yuri & Guillou, Armelle & Qin, Jing, 2024. "Dependent conditional tail expectation for extreme levels," Stochastic Processes and their Applications, Elsevier, vol. 171(C).

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