The Regression Conditional Tail Moment (RCTM) is the risk measure defined as the moment of order $b\geq0$ of a loss distribution above the upper $\alpha$-quantile where $\alpha\in (0,1)$ and when a covariate information is available. The purpose of this work is first to establish the asymptotic properties of the RCTM in case of extreme losses, i.e when $\alpha\to 0$ is no longer fixed, under general extreme-value conditions on their distribution tail. In particular, no assumption is made on the sign of the associated extreme-value index. Second, the asymptotic normality of a kernel estimator of the RCTM is established, which allows to derive similar results for estimators of related risk measures such as the Regression Conditional Tail Expectation/Variance/Skewness. When the distribution tail is upper bounded, an application to frontier estimation is also proposed. The results are illustrated both on simulated data and on a real dataset in the field of nuclear reactors reliability.
"Kernel estimation of extreme regression risk measures." Electron. J. Statist. 12 (1) 359 - 398, 2018. https://doi.org/10.1214/18-EJS1392