For two risks, X and Y, the Marginal Expected Shortfall (MES) is defined as \(\mathbb {E}[Y\mid X>F_{X}^{\leftarrow }(1-p)]\), where F_X is the distribution function of X and p is small. In this paper we establish consistency and asymptotic normality of an estimator of MES on assuming that (X, Y ) follows a Conditional Extreme Value (CEV) model. The theoretical findings are supported by simulation studies. Our procedure is applied to some financial data.

中文翻译：

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在条件极值模型下给定极端分量的情况下预期短缺的估计

对于X和Y这两个风险，边际期望缺口（MES）定义为\（\ mathbb {E} [Y \ mid X> F_ {X} ^ {\ leftarrow}（1-p）] \），其中˚F _X是的分布函数X和p是小的。在本文中，我们假设（X，Y）遵循条件极值（CEV）模型，建立MES估计的一致性和渐近正态性。理论研究得到仿真研究的支持。我们的程序适用于一些财务数据。