Asymptotic multivariate expectiles
Risk Management
2018-01-22 v2 Applications
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.
Keywords
Cite
@article{arxiv.1704.07152,
title = {Asymptotic multivariate expectiles},
author = {Véronique Maume-Deschamps and Didier Rullière and Khalil Said},
journal= {arXiv preprint arXiv:1704.07152},
year = {2018}
}