Nonparametric estimation of conditional marginal excess moments

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

Journal of Multivariate Analysis, 2023, vol. 193, issue C

Abstract: Several risk measures have been proposed in the literature, among them the marginal mean excess, defined as MMEp=E[{Y(1)−Q1(1−p)}+|Y(2)>Q2(1−p)], provided E|Y(1)|<∞, where (Y(1),Y(2)) denotes a pair of risk factors, y+≔max(0,y), Qj the quantile function of Y(j),j∈{1,2}, and p∈(0,1). In this paper we consider a generalization of this measure, where the random variables of main interest (Y(1),Y(2)) are observed together with a random covariate X∈Rd, and where the Y(1) excess is also power transformed. This leads to the concept of conditional marginal excess moment 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 estimator is evaluated by a simulation experiment. We apply also our method on a vehicle insurance customer dataset.

Keywords: Empirical process; Marginal mean excess; Pareto-type distribution; Tail dependence (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.jmva.2022.105121

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