Renewable high-dimensional expected shortfall regression

Abstract

Expected Shortfall (ES) has become a core coherent risk measure in finance and statistics, and high-dimensional ES regression is crucial for characterizing heterogeneous tail risk with massive covariates. Existing offline methods for high-dimensional ES regression rely on access to full data, which fails under streaming data scenarios with sequential batch arrival and limited storage. To address this issue, this paper proposes a renewable estimation and inference framework for high-dimensional ES regression tailored to streaming data. By optimizing a surrogate loss function determined only by current data and historical information, the proposed procedure updates the estimator of ES regression coefficients without storing full raw data. Based on the online estimator, we design an online debiased estimator and further construct valid Wald-type confidence intervals using consistent variance estimation. Theoretically, we establish non-asymptotic error bounds for the online high-dimensional ES estimator and verify the asymptotic normality of the online debiased estimator. Extensive simulations show that the proposed method achieves estimation accuracy and inference performance comparable to the offline benchmark. Moreover, an application on the car insurance claim dataset demonstrates strong practical value in insurance risk management.