## Estimation of Tail Risk based on Extreme Expectiles

Mardi | 2016-12-13 16-17h20 en sully05 Abdelaati DAOUIA – StĂ©phane GIRARD – Gilles STUPER We use tail expectiles to estimate alternative measures to the Value at Risk (VaR), Expected Shortfall (ES) and Marginal Expected Shortfall (MES), three instruments of risk protection of utmost importance in actuarial science and statistical finance. The concept of expectiles is a least squares analogue of quantiles. Both expectiles and quantiles were embedded in the more general class of M-quantiles as the minimizers of an asymmetric […]