Spatial Risk Measure for Max-Stable and Max-Mixture Processes

2017/06/26 by Ahmed Manaf, Véronique Maume‐Deschamps, Manaf, Ahmed +5
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Probability and Risk Models #Risk and Portfolio Optimization #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1706.08244

openalex publication_date 2017/06/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes X=(X(s))_s∈\bR² and the damage function \cD_X^ν= |X|^ν with 0

Citations

• Statistics for near independence in multivariate extreme values

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