Spatial risk measures for max-stable and max-mixture processes

DOI10.1080/17442508.2019.1687703MaRDI QIDQ5086524zbMATH OpenOpenAlexFDO

Authors

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.08244

zbMATH Keywords

spatial dependenceextreme value theoryrisk measuresmax-stable processmax-mixture process

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Stable stochastic processes (60G52)

Abstract: In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes $$ and the damage function $c{D}_X^u=|X{|}^u$ with $0<u<1/2$. We study the quantitative behavior of a risk measure which is the variance of the average of $c{D}_X^u$ over a region $$.} This kind of risk measure has already been introduced and studied for vero{some} max-stable processes in cite{koch2015spatial}. % extcolor{red}{In this study, we generalised this risk measure to be applicable for several models: asymptotic dependence represented by max-stable, asymptotic independence represented by inverse max-stable and mixing between of them.} We evaluated the proposed risk measure by a simulation study.

Recommendations

• Spatial risk measures and applications to max-stable processes
• Spatial extremes: max-stable processes at work
• Multivariate max-stable spatial processes
• Spatial extremes and max-stable processes
• A central limit theorem for functions of stationary max-stable random fields on \(\mathbb{R}^d\)

Cites work

• A dependence measure for multivariate and spatial extreme values: Properties and inference
• A flexible dependence model for spatial extremes
• A spectral representation for max-stable processes
• Analysis of multivariate survival data
• Coherent measures of risk
• Dependence measures for extreme value analyses
• Dependence modelling for spatial extremes
• Extreme value theory. An introduction.
• Geostatistics of dependent and asymptotically independent extremes
• Geostatistics of extremes
• Higher moment coherent risk measures
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Modelling pairwise dependence of maxima in space
• Models for stationary max-stable random fields
• Some Concepts of Dependence
• Spatial risk measures and applications to max-stable processes
• Spatial risk measures and their local specification: the locally law-invariant case
• Statistics for near independence in multivariate extreme values

Cited in

(4)

• Advances in statistical modeling of spatial extremes
• A model of stratified production process and spatial risk
• Spatial risk measures and applications to max-stable processes
• Partial Tail-Correlation Coefficient Applied to Extremal-Network Learning

This page was built for publication: Spatial risk measures for max-stable and max-mixture processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086524)