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 and the damage function with . We study the quantitative behavior of a risk measure which is the variance of the average of over a region .} 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}
}