A0209
Title: Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors
Authors: Antoine Usseglio-Carleve - ENSAI (France) [presenting]
Abstract: The focus is on some conditional extreme risk measures estimation for elliptical random vectors. Previously, we had 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 Lp-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.
