pith. sign in

arxiv: 1706.08244 · v1 · pith:XCYACVP6new · submitted 2017-06-26 · 🧮 math.ST · math.PR· stat.TH

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

classification 🧮 math.ST math.PRstat.TH
keywords max-stablemeasureriskprocessesasymptoticinversemax-mixturerepresented
0
0 comments X
read the original abstract

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 risk measure which is the variance of the average of $\cD\_X^{\nu}$ over a region $\mathcal{A}\subset \bR^2$.} 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.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.