Year: 2024
Type: article
Abstract: Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance.Meanwhile, there is growing attention on asymptotic independent pairs in quantitative risk management.This paper addresses the estimation of the tail Gini functional under asymptotic independence.We first estimate the tail Gini functional at an intermediate level and then extrapolate it to the extreme tails.The asymptotic normalities of both the intermediate and extreme estimators are established.The simulation study shows that our estimator performs comparatively well in view of both bias and variance.The application to measure the tail variability of weekly loss of individual stocks given the occurrence of extreme events in the market index in Hong Kong Stock Exchange provides meaningful results, and leads to new insights in risk management.
Source: Statistica Sinica
Authors: Zhaowen Wang, Liujun Chen, Deyuan Li
Institution: University of Science and Technology of China
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
Awards: 基于分布式数据和高维数据的极值统计研究, G6250735989
OpenAlex ID: W4404975603