Extremes for multivariate expectiles

Maume-Deschamps Véronique (), Didier Rulliere () and Said Khalil ()
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Maume-Deschamps Véronique: Institut Camille Jordan UMR 5208, Université de Lyon, Université Lyon 1, Lyon, France
Said Khalil: École d’Actuariat, Université Laval, Québec, Canada

Statistics & Risk Modeling, 2018, vol. 35, issue 3-4, 111-140

Abstract: Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature. [22]. Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator of extreme multivariate expectiles in the Fréchet domain of attraction case with asymptotic independence, or for comonotonic marginal distributions.

Keywords: Risk measures; multivariate expectiles; regular variations; extreme values; tail dependence functions (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/strm-2017-0014

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