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math.ST2017★ 3 cited
Estimation of the marginal expected shortfall under asymptotic independence
Juan-Juan Cai, Eni Musta
We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive associated, which is modeled by the so-cal…
math.ST2012★ 52 cited
Estimation of extreme risk regions under multivariate regular variation
Juan-Juan Cai, John H. J. Einmahl, Laurens de Haan
When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form ${\math…