Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation

The tail conditional allocation plays an important role in a number of areas, including economics, finance, insurance, and management. Fixed-margin confidence intervals are of particular interest, and the assessment of their coverage probabilities is of much interest in practice. In this paper we offer a convenient way to achieve this goal via resampling. The theoretical part of the paper, which is technically demanding, is rigorously established under minimal conditions to facilitate the widest possible practical use. A numerical study illustrates the performance of the estimator on data