Electronic Journal of Statistics

Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors

Antoine Usseglio-Carleve

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In this work, we focus on some conditional extreme risk measures estimation for elliptical random vectors. In a previous paper, we proposed a methodology to approximate extreme quantiles, based on two extremal parameters. We thus propose some estimators for these parameters, and study their consistency and asymptotic normality in the case of heavy-tailed distributions. Thereafter, from these parameters, we construct extreme conditional quantiles estimators, and give some conditions that ensure consistency and asymptotic normality. Using recent results on the asymptotic relationship between quantiles and other risk measures, we deduce estimators for extreme conditional $L_{p}-$quantiles and Haezendonck-Goovaerts risk measures. Under similar conditions, consistency and asymptotic normality are provided. In order to test the effectiveness of our estimators, we propose a simulation study. A financial data example is also proposed.

Article information

Electron. J. Statist., Volume 12, Number 2 (2018), 4057-4093.

Received: July 2018
First available in Project Euclid: 12 December 2018

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62H12: Estimation 60E05: Distributions: general theory
Secondary: 62G32: Statistics of extreme values; tail inference

Elliptical distribution extreme quantiles extreme value theory Haezendonck-Goovaerts risk measures heavy-tailed distributions $L_{p}-$quantiles

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Usseglio-Carleve, Antoine. Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors. Electron. J. Statist. 12 (2018), no. 2, 4057--4093. doi:10.1214/18-EJS1499. https://projecteuclid.org/euclid.ejs/1544583931

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