Skip to Main content Skip to Navigation
Conference papers

Frontier estimation based on extreme risk measures

Jonathan El Methni 1 Laurent Gardes 2 Stéphane Girard 3
3 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann
Abstract : Value-at-risk, Conditional Tail Expectation, Conditional Tail Variance and Conditional Tail Moment are classical risk measures. In statistical terms, the Value-at-risk is the upper a-quantile of the loss distribution where alpha in (0;1) is the confidence level. Here, we focus on the properties of these risk measures for extreme losses (where alpha tends to zero and is thus no longer fixed). To assign probabilities to extreme losses we assume that the distribution satisfies a von-Mises condition which allows us to work in the general setting, whether the extreme-value index is positive, negative or zero i.e. for all domains of attraction. We also consider these risk measures in the presence of a covariate. The main goal is to propose estimators of the above risk measures for all domains of attraction, for extreme losses, and to include a covariate in the estimation. The estimation method thus combines nonparametric kernel methods with extreme-value statistics. The asymptotic distribution of our estimators is established and their finite sample behavior is illustrated on simulated data and also on a motivating application in the reliability of nuclear reactors.
Document type :
Conference papers
Complete list of metadata
Contributor : Stephane Girard <>
Submitted on : Tuesday, December 13, 2016 - 12:20:30 PM
Last modification on : Tuesday, May 11, 2021 - 11:37:34 AM


  • HAL Id : hal-01415591, version 1


Jonathan El Methni, Laurent Gardes, Stéphane Girard. Frontier estimation based on extreme risk measures. 9th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2016, Seville, Spain. ⟨hal-01415591⟩



Record views