Asymptotic multivariate expectiles

V\'eronique Maume-Deschamps, Didier Rulli\`ere and Khalil Said
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V\'eronique Maume-Deschamps: ICJ
Didier Rulli\`ere: SAF
Authors registered in the RePEc Author Service: Didier Rulliere ()

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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 Fr{\'e}chet attraction domain case, with asymptotic independence, or in the comonotonic case.

Date: 2017-04, Revised 2018-01
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http://arxiv.org/pdf/1704.07152 Latest version (application/pdf)

Related works:
Working Paper: ASYMPTOTIC MULTIVARIATE EXPECTILES (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1704.07152

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