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Extremes for multivariate expectiles

2018; R. Oldenbourg Verlag; Volume: 35; Issue: 3-4 Linguagem: Inglês

10.1515/strm-2017-0014

2196-7040

Véronique Maume‐Deschamps, Didier Rullière, Khalil Said,

Probability and Risk Models

Abstract Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature. [22]. Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator of extreme multivariate expectiles in the Fréchet domain of attraction case with asymptotic independence, or for comonotonic marginal distributions.