ASYMPTOTIC MULTIVARIATE EXPECTILES

Véronique Maume-Deschamps (), Didier Rulliere () and Khalil Said ()
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Véronique Maume-Deschamps: PSPM - Probabilités, statistique, physique mathématique - ICJ - Institut Camille Jordan - ECL - École Centrale de Lyon - Université de Lyon - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon - INSA Lyon - Institut National des Sciences Appliquées de Lyon - Université de Lyon - INSA - Institut National des Sciences Appliquées - UJM - Université Jean Monnet - Saint-Étienne - CNRS - Centre National de la Recherche Scientifique
Khalil Said: Ecole d'Actuariat - ULaval - Université Laval [Québec]

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Abstract: In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent tails, we propose an estimator of these multivariate asymptotic expectiles, in the Fréchet attraction domain case, with asymptotic independence, or in the comonotonic case.

Keywords: Risk measures; tail dependence functions; multivariate expectiles; extreme values; regular variations (search for similar items in EconPapers)
Date: 2018-01-18
New Economics Papers: this item is included in nep-ecm, nep-rmg and nep-upt
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Working Paper: Asymptotic multivariate expectiles (2018)
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