相关论文: Extremal dependence and spatial risk measures for …
The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in order to introduce the spatial features of damages stemming from…
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a…
H\"usler-Reiss vectors and Brown-Resnick fields are popular models in multivariate and spatial extreme-value theory, respectively, and are widely used in applications. We provide analytical formulas for the correlation between powers of the…
In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes $X=(X(s))\_{s\in\bR^2}$ and the damage function $\cD\_X^{\nu}= |X|^\nu$ with $0<\nu<1/2$. We study the quantitative behavior of a…
Windstorms are a primary natural hazard affecting Europe that are commonly linked to substantial property and infrastructural damage and are responsible for the largest spatially aggregated financial losses. Such extreme winds are typically…
This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…
Wind-speed processes exhibit substantial temporal variability and spatial dependence, yet volatility dynamics across monitoring networks remain relatively unexplored. This study investigates the spatiotemporal behaviour of wind-speed…
This paper investigates the impact of distributional uncertainty on key risk measures under the partial knowledge of underlying distributions characterized by their first two moments and shape information (specifically symmetry and/or…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expected exponential utility of its terminal wealth. We propose…
The growth of wind generation capacities in the past decades has shown that wind energy can contribute to the energy transition in many parts of the world. Being highly variable and complex to model, the quantification of the…
Severe Ionosphere magnetic storms are feared events for integrity and continuity of navigation systems such as EGNOS, the European SBAS (Satellite-Based Augmentation System) complementing GPS and an accurate modelling of this event…
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…
Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these…
This research provides an analysis of extreme events in the solar wind and in the magnetosphere due to disturbances of the solar wind. Extreme value theory has been applied to a 20 year data set from the Advanced Composition Explorer (ACE)…
This paper presents an initial exploration of high frequency records of extreme wind speed in two steps. The first consists in finding the suitable extreme distribution for $120$ measuring stations in Switzerland, by comparing three known…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
Hourly maxima of 3-second wind gust speeds are prominent indicators of the severity of wind storms, and accurately forecasting them is thus essential for populations, civil authorities and insurance companies. Space-time max-stable models…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…