Related papers: Spatial risk measures and rate of spatial diversif…
Extreme environmental events frequently exhibit spatial and temporal dependence. These data are often modeled using max stable processes (MSPs). MSPs are computationally prohibitive to fit for as few as a dozen observations, with supposed…
This study investigates the spatial distribution of emergency alarm call events to identify spatial covariates associated with the events and discern hotspot regions for the events. The study is motivated by the problem of developing…
The lack of efficiency in urban diffusion is a debated issue, important for biologists, urban specialists, planners and statisticians, both in developed and new developing countries. Many approaches have been considered to measure urban…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…
Understanding and mapping extreme heat is critical for risk management and public health planning, particularly in regions with complex terrain and heterogeneous climate. We present a case study of extreme heat in the Four Corners region of…
Systemic risk is the risk that a company- or industry-level risk could trigger a huge collapse of another or even the whole institution. Various systemic risk measures have been proposed in the literature to quantify the domino and…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
A measure on a locally compact group is called spread out if one of its convolution powers is not singular with respect to Haar measure. Using Markov chain theory, we conduct a detailed analysis of random walks on homogeneous spaces with…
Systemic risk is receiving increasing attention in the insurance industry. In this paper, we propose a multi-dimensional L\'{e}vy process-based renewal risk model with heterogeneous insurance claims, where every dimension indicates a…
We introduce set risk measures (SRMs), real-valued maps defined on the family of non-empty closed bounded sets of essentially bounded random variables. SRMs extend traditional scalar risk measures by assigning a single capital requirement…
We propose a risk measurement approach for a risk-averse stochastic problem. We provide results that guarantee that our problem has a solution. We characterize and explore the properties of the argmin as a risk measure and the minimum as a…
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These…
We apply the method of matched asymptotic expansions to analyse whether cosmological variations in physical `constants' and scalar fields are detectable, locally, on the surface of local gravitationally bound systems such as planets and…
Spatial association and heterogeneity are two critical areas in the research about spatial analysis, geography, statistics and so on. Though large amounts of outstanding methods has been proposed and studied, there are few of them tend to…
Optimal values and solutions of empirical approximations of stochastic optimization problems can be viewed as statistical estimators of their true values. From this perspective, it is important to understand the asymptotic behavior of these…
Due to spatial dependence -- often characterized as complex and non-linear -- model misspecification is a prevalent and critical issue in spatial data analysis and prediction. As the data, and thus model performance, is heterogeneous,…
The analysis of excursion sets in imaging data is essential to a wide range of scientific disciplines such as neuroimaging, climatology and cosmology. Despite growing literature, there is little published concerning the comparison of…
We show by using the method of matched asymptotic expansions that a sufficient condition can be derived which determines when a local experiment will detect the cosmological variation of a scalar field which is driving the spacetime…
Recent studies in ecology and epidemiology indicate that it is important to include spatial heterogeneity, synchronization and seasonality in the theoretical models. In this work, spatial heterogeneity is introduced via coupled map lattices…
One measurement modality for rainfall is a fixed location rain gauge. However, extreme rainfall, flooding, and other climate extremes often occur at larger spatial scales and affect more than one location in a community. For example, in…