DOI

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
Язык оригиналаанглийский
Страницы (с-по)199-222
Число страниц24
ЖурналInsurance: Mathematics and Economics
Том107
DOI
СостояниеОпубликовано - 1 ноя 2022

    Области исследований

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

    Предметные области Scopus

  • Математика (все)

ID: 99441256