Title: Estimation of the marginal expected shortfall under asymptotic independence,
Abstract: We study the asymptotic behavior of the marginal expected shortfall when the
two random variables are asymptotic independent but positive associated, which
is modeled by the so-called tail dependent coefficient. We construct an
estimator of the marginal expected shortfall which is shown to be
asymptotically normal. The finite sample performance of the estimator is
investigated in a small simulation study. The method is also applied to
estimate the expected amount of rainfall at a weather station given that there
is a once every 100 years rainfall at another weather station nearby.