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Conditional marginal expected shortfall |
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| Authors: | Goegebeur Yuri Guillou Armelle Le Ho Nguyen Khanh Qin Jing |
| Institution: | 1.Department of Mathematics and Computer Science, University of Southern Denmark, Campusvej 55, 5230, Odense M, Denmark ;2.Institut Recherche Mathématique Avancée, UMR 7501, Université de Strasbourg et CNRS, 7 rue René Descartes, 67084, Strasbourg cedex, France ; |
| Abstract: | Extremes - In the context of bivariate random variables $\left (Y^{(1)},Y^{(2)}\right )$ , the marginal expected shortfall, defined as $\mathbb {E}\left (Y^{(1)}|Y^{(2)} \ge Q_{2}(1-p)\right )$ for... |
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