In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multivariate regular variations context. For models with equivalent tails, we propose an estimator of these multivariate asymptotic expectiles, in the Fr{ \'e}chet attraction domain case, with asymptotic independence, or in the comonotonic case.
Categories: q-fin.RM stat.AP