| Autor: |
Manaf, Ahmed, Maume-Deschamps, Véronique, Ribereau, Pierre, Vial, Céline |
| Rok vydání: |
2017 |
| Předmět: |
|
| Druh dokumentu: |
Working Paper |
| Popis: |
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. |
| Databáze: |
arXiv |
| Externí odkaz: |
|
