Second order regular variation and conditional tail expectation of multiple risks

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Estimation of tail risk based on extreme expectiles (2016, unknown): “This contains in particular the Hall-Weiss class of models (see Hua and Joe, 2011).”
Non‐parametric Estimation of Extreme Risk Measures from Conditional Heavy‐tailed Distributions (2014, background): “˛njx/ 1=.1 .x// which is an extension of the unconditional result (for instance, Hua & Joe, 2011).”
Risk management with expectiles (2017, unknown): “We refer to Hua and Joe (2011), Tang and Yang (2012) and Mao and Hu (2012) for similar results for other one-parameter families of coherent risk measures.”