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
Original languageEnglish
Pages (from-to)199-222
Number of pages24
JournalInsurance: Mathematics and Economics
Volume107
DOIs
StatePublished - 1 Nov 2022

    Research areas

  • Capital allocations, Marginal expected shortfall, Compound sums, Order statistics, Concomitants

    Scopus subject areas

  • Mathematics(all)

ID: 99441256