Estimation of the marginal expected shortfall under asymptotic independence
  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.
