Estimation of the marginal expected shortfall: the mean when a related variable is extreme-Reference-Cited by-同舟云学术

Estimation of the marginal expected shortfall: the mean when a related variable is extreme

Published:2014-05-15 Issue:2 Volume:77 Page:417-442
ISSN:1369-7412
Container-title:Journal of the Royal Statistical Society: Series B (Statistical Methodology)
language:en
Short-container-title:J. R. Stat. Soc. B

Author:

Cai Juan-Juan¹,Einmahl John H. J.²,de Haan Laurens³⁴,Zhou Chen⁵

Affiliation:

1. Delft University of Technology; The Netherlands

2. Tilburg University; The Netherlands

3. Erasmus University Rotterdam; The Netherlands and University of Lisbon Portugal

4. University of Lisbon; Portugal

5. De Nederlandsche Bank, Amsterdam, Erasmus University Rotterdam; and Tinbergen Institute, Amsterdam; The Netherlands

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/rssb.12069/fullpdf

Reference22 articles.

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3. Asymptotics for risk capital allocations based on conditional tail expectation;Asimit;Insur. Math. Econ.,2011

4. TVaR-based capital allocation with copulas;Bargès;Insur. Math. Econ.,2009

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