## Electronic Journal of Statistics

### Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors

Antoine Usseglio-Carleve

#### Abstract

In this work, we focus on some conditional extreme risk measures estimation for elliptical random vectors. In a previous paper, we proposed a methodology to approximate extreme quantiles, based on two extremal parameters. We thus propose some estimators for these parameters, and study their consistency and asymptotic normality in the case of heavy-tailed distributions. Thereafter, from these parameters, we construct extreme conditional quantiles estimators, and give some conditions that ensure consistency and asymptotic normality. Using recent results on the asymptotic relationship between quantiles and other risk measures, we deduce estimators for extreme conditional $L_{p}-$quantiles and Haezendonck-Goovaerts risk measures. Under similar conditions, consistency and asymptotic normality are provided. In order to test the effectiveness of our estimators, we propose a simulation study. A financial data example is also proposed.

#### Article information

Source
Electron. J. Statist., Volume 12, Number 2 (2018), 4057-4093.

Dates
First available in Project Euclid: 12 December 2018

https://projecteuclid.org/euclid.ejs/1544583931

Digital Object Identifier
doi:10.1214/18-EJS1499

Mathematical Reviews number (MathSciNet)
MR3887178

Zentralblatt MATH identifier
07003237

Subjects
Primary: 62H12: Estimation 60E05: Distributions: general theory
Secondary: 62G32: Statistics of extreme values; tail inference

#### Citation

Usseglio-Carleve, Antoine. Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors. Electron. J. Statist. 12 (2018), no. 2, 4057--4093. doi:10.1214/18-EJS1499. https://projecteuclid.org/euclid.ejs/1544583931

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