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

DOI10.1080/17442508.2019.1687703zbMATH Open1490.60117arXiv1706.08244OpenAlexW2983536493MaRDI QIDQ5086524FDOQ5086524

Authors:

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

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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

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