English

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

Statistics Theory 2017-06-27 v1 Probability Statistics Theory

Abstract

In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes X=(X(s))_s\bR2X=(X(s))\_{s\in\bR^2} and the damage function \cD_Xν=Xν\cD\_X^{\nu}= |X|^\nu with 0<ν<1/20<\nu<1/2. We study the quantitative behavior of a risk measure which is the variance of the average of \cD_Xν\cD\_X^{\nu} over a region A\bR2\mathcal{A}\subset \bR^2.} This kind of risk measure has already been introduced and studied for \vero{some} max-stable processes in \cite{koch2015spatial}. %\textcolor{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.

Keywords

Cite

@article{arxiv.1706.08244,
  title  = {Spatial Risk Measure for Max-Stable and Max-Mixture Processes},
  author = {Ahmed Manaf and Véronique Maume-Deschamps and Pierre Ribereau and Céline Vial},
  journal= {arXiv preprint arXiv:1706.08244},
  year   = {2017}
}
R2 v1 2026-06-22T20:29:17.950Z