Estimation of multivariate conditional-tail-expectation using Kendall's process
نویسندگان
چکیده
منابع مشابه
Estimation of Multivariate Conditional Tail Expectation using Kendall's Process
This paper deals with the problem of estimating the Multivariate version of the Conditional-TailExpectation, proposed by Cousin and Di Bernardino (2012). We propose a new non-parametric estimator for this multivariate risk-measure, which is essentially based on the Kendall’s process (see Genest and Rivest, 1993). Using the Central Limit Theorem for the Kendall’s process, proved by Barbe et al. ...
متن کاملOn Multivariate Extensions of Conditional-Tail-Expectation
In this paper, we introduce two alternative extensions of the classical univariate Conditional-TailExpectation (CTE) in a multivariate setting. The two proposed multivariate CTEs are vector-valued measures with the same dimension as the underlying risk portfolio. As for the multivariate Value-at-Risk measures introduced by Cousin and Di Bernardino (2013), the lower-orthant CTE (resp. the upper-...
متن کاملEstimation of the Multivariate Conditional-Tail-Expectation for extreme risk levels: illustrations on environmental data-sets
This paper deals with the problem of estimating the Multivariate version of the Conditional-TailExpectation introduced in the bivariate framework in Di Bernardino et al. (2013), and generalized in Cousin and Di Bernardino (2014). We propose a new semi-parametric estimator for this risk measure, essentially based on statistical extrapolation techniques, well designed for extreme risk levels. We ...
متن کاملStrength of tail dependence based on conditional tail expectation
We use the conditional distribution and conditional expectation of one random variable given the other one being large to capture the strength of dependence in the tails of a bivariate random vector. We study the tail behavior of the boundary conditional cumulative distribution function (cdf) and two forms of conditional tail expectation (CTE) for various bivariate copula families. In general, ...
متن کاملAsymptotic Analysis of Multivariate Tail Conditional Expectations
Tail conditional expectations refer to the expected values of random variables conditioning on some tail events and are closely related to various coherent risk measures. In the univariate case, the tail conditional expectation is asymptotically proportional to the value-at-risk, a popular risk measure. The focus of this paper is on asymptotic relations between the multivariate tail conditional...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Nonparametric Statistics
سال: 2014
ISSN: 1048-5252,1029-0311
DOI: 10.1080/10485252.2014.889137