Abstract: Denote the loss return on the equity of a financial institution as X and that of the entire market as Y . For a given very small value of p 0, the marginal expected shortfall (MES) is defined as E(X | Y QY (1−p)), where QY (1−p) is the (1−p)-th quantile of the distribution of Y...

The case-cohort study design, used to reduce costs in large cohort studies, involves a random sample of the entire cohort, called the subcohort, augmented with subjects having the disease of interest but not in the subcohort sample. When several diseases are of interest, multiple case-cohort...

Case-cohort study designs are widely used to reduce the cost of large cohort studies while achieving the same goals, especially when the disease rate is low. A key advantage of the case-cohort study design is its capacity to use the same subcohort for several diseases or for several subtypes of...