ROBUST BOUNDS IN MULTIVARIATE EXTREMES

• 成果类型: Article
• 署名作者: Engelke, Sebastian; Ivanovs, Jevgenijs
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Aarhus University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/17-AAP1294
• 发表日期: 2017
• 页码: 3706-3734
• 关键词: model uncertainty; dependence; diversification; RISK

摘要

Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is typically modeled by a parametric family of spectral distributions. In this work, we provide asymptotic bounds on exceedance probabilities that are robust against misspecification of the extremal dependence model. They arise from optimizing the statistic of interest over all dependence models within some neighborhood of the reference model. A certain relaxation of these bounds yields surprisingly simple and explicit expressions, which we propose to use in applications. We show the effectiveness of the robust approach compared to classical confidence bounds when the model is misspecified. The results are further applied to quantify the effect of model uncertainty on the Value-at-Risk of a financial portfolio.