Spatial risk measure for gaussian processes

2016/12/25 by Ahmed, M, Maume-Deschamps, V, Ribereau, P +1
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1612.08280

Abstract

In this paper, we study the quantitative behavior of a spatial risk measure corresponding to a damage function and a region, taking into account the spatial dependence of the underlying process. This kind of risk measure has already been introduced and studied for some max-stable processes in [Koch2015]. In this paper, we consider isotropic Gaussian processes and the excess damage function over a threshold. We performed a simulation study and a real data study.

Related

• Spatial Risk Measure for Max-Stable and Max-Mixture Processes
• Spatial risk measures and applications to max-stable processes
• Spatial risk measures and rate of spatial diversification
• Dependence Structure of Spatial Extremes Using Threshold Approach
• A comparative tour through the simulation algorithms for max-stable processes