Kernel estimation of extreme regression risk measures

Abstract : The Regression Conditional Tail Moment (RCTM) is the risk measure defined as the moment of order b ≥ 0 of a loss distribution above the upper α-quantile where α ∈ (0, 1) and when a covariate information is available. The purpose of this work is first to establish the asymptotic properties of the RCTM in case of extreme losses, i.e when α → 0 is no longer fixed, under general extreme-value conditions on their distribution tail. In particular, no assumption is made on the sign of the associated extreme-value index. Second, the asymptotic normality of a kernel estimator of the RCTM is established, which allows to derive similar results for estimators of related risk measures such as the Regression Conditional Tail Expectation/Variance/Skewness. When the distribution tail is upper bounded, an application to frontier estimation is also proposed. The results are illustrated both on simulated data and on a real dataset in the field of nuclear reactors reliability.
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Pré-publication, Document de travail
2017
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https://hal.inria.fr/hal-01393519
Contributeur : Stephane Girard <>
Soumis le : mercredi 15 mars 2017 - 15:13:00
Dernière modification le : jeudi 15 juin 2017 - 09:09:12

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RCTM_allDA7.pdf
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  • HAL Id : hal-01393519, version 2

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Jonathan El Methni, Laurent Gardes, Stephane Girard. Kernel estimation of extreme regression risk measures. 2017. <hal-01393519v2>

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