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Conference Papers Year : 2013

Estimation of Extreme Risk Measures from Heavy-tailed distributions

Abstract

Value-at-risk, conditional tail expectation, conditional value-at-risk and conditional tail variance are classical risk measures. In statistical terms, the value-at-risk is the upper α-quantile of the loss distribution where α ∈ (0, 1) is the confidence level. Here, we focus on the properties of these risk measures for extreme losses (where α → 0 is no longer fixed). To assign probabilities to extreme losses it is assumed that we are in the case of heavy-tailed distributions. We also consider these risk measures in the presence of a covariate. Let us note that the presence of a covariate has already been investigated in extreme value theory. The main goal of this communication is to propose estimators of the above risk measures in the case of heavy-tailed distributions, for extreme losses, and to include a covariate in the estimation. The asymptotic distribution of our estimators is established and their finite sample behavior is illustrated on simulated data and on a real data set of pluviometrical measurements.
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Dates and versions

hal-00845527 , version 1 (17-07-2013)

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  • HAL Id : hal-00845527 , version 1

Cite

Jonathan El Methni, Stéphane Girard, Laurent Gardes. Estimation of Extreme Risk Measures from Heavy-tailed distributions. EVA 2013 - 8th Conference on Extreme Value Analysis, probabilistic and statistical models and their applications, Jul 2013, Shanghai, China. pp.CDROM. ⟨hal-00845527⟩
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