Spatial risk measure for gaussian processes
Statistics Theory
2017-01-02 v2 Probability
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1612.08280,
title = {Spatial risk measure for gaussian processes},
author = {M Ahmed and V Maume-Deschamps and P Ribereau and Céline Vial},
journal= {arXiv preprint arXiv:1612.08280},
year = {2017}
}