B0269
Title: Estimation of the marginal expected shortfall in the context of an infinite mean model
Authors: Armelle Guillou - Strasbourg (France) [presenting]
Juan Juan Cai - Delft University of Technology (Netherlands)
Valerie Chavez-Demoulin - University of Lausanne (Switzerland)
Abstract: An estimator is developed for the marginal expected shortfall in the case of an infinite mean model. We establish the asymptotic normality of our estimator under general assumptions. The finite sample performance is illustrated by a simulation study, based on which we give some recommendations about the tuning parameters of the estimation in practice. We apply our methodology to tsunami data and operational risk data.
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