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Journal Articles Stochastics: An International Journal of Probability and Stochastic Processes Year : 2020

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

Abstract

In this paper, we consider isotropic and stationary max-stable, inverse max-stable and max-mixture processes X=(X(s))s∈R2 and the damage process DνX=|X|ν with 0<ν<1/2. We study the quantitative behaviour of a risk measure which is the variance of the average of DνX over a region A⊂R2. This kind of risk measure has already been introduced and studied for some max-stable processes in Koch [Spatial risk measures and applications to max-stable processes, Extremes 20(3) (2017), pp. 635–670].
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Dates and versions

hal-01546570 , version 1 (24-06-2017)
hal-01546570 , version 2 (04-12-2017)

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Manaf Ahmed, Véronique Maume-Deschamps, Pierre Ribereau, Céline Vial. Spatial Risk Measure for Max-Stable and Max-Mixture Processes. Stochastics: An International Journal of Probability and Stochastic Processes, 2020, 92 (7), pp.1005-1020. ⟨10.1080/17442508.2019.1687703⟩. ⟨hal-01546570v2⟩
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