Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants

N.V. Gribkova, J. Su and R. Zitikis

Insurance: Mathematics and Economics, 2022, vol. 107, issue C, 199-222

Abstract: We derive consistency, asymptotic normality, and standard error estimation for the tail conditional allocation, also known as the marginal expected shortfall, under minimal conditions and thus geared toward widest applicability. These advances have become possible due to a newly developed technique that hinges on compound sums of concomitants. An insurance inspired numerical study has been designed to illustrate the performance of the obtained results.

Keywords: Capital allocations; Marginal expected shortfall; Compound sums; Order statistics; Concomitants (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222

DOI: 10.1016/j.insmatheco.2022.08.009

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