Das, Bikramjit; Fasen-Hartmann, Vicky - In: Statistics & Risk Modeling 36 (2019) 1-4, pp. 1-23
Abstract Conditional excess risk measures like Marginal Expected Shortfall and Marginal Mean Excess are designed to aid in quantifying systemic risk or risk contagion in a multivariate setting. In the context of insurance, social networks, and telecommunication, risk factors often tend to be...