Modified marginal expected shortfall under asymptotic dependence
针对具有无限期望的变量，提出一种基于对数变换的边际期望损失估计量，证明其渐近正态性，模拟显示估计稳健且偏差和均方误差更小，并应用于海啸数据。
We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish the asymptotic normality of our estimator under general assumptions. A simulation study suggests that the estimation procedure is robust with respect to the choice of tuning parameters. Our estimator has lower bias and mean squared error than the empirical estimator when the latter is applicable. We illustrate our method on a tsunami dataset.