CMStatistics 2015: Start Registration
View Submission - CMStatistics
B0170
Title: Estimation of the multivariate conditional-tail-expectation for extreme risk levels: Illustration on a rainfall data-set Authors:  Elena Di Bernardino - CNAM (France) [presenting]
Abstract: The problem of estimating the multivariate version of the conditional-tail-expectation already introduced in the bivariate framework is considered. We propose a new semi-parametric estimator for this risk measure, essentially based on statistical extrapolation techniques, well designed for extreme risk levels. We prove a central limit theorem. We illustrate the practical properties of our estimator on simulations. The performance of our new estimator is discussed and compared to the ones of the empirical Kendall's process-based estimator, previously proposed. We conclude with an application to a rainfall data-set.