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arXiv · 1612.08280

Spatial risk measure for gaussian processes

M Ahmed·V Maume-Deschamps·P Ribereau·Céline Vial
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Abstract

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 introduced and studied for some max-stable processes in [Koch2015]. In this paper, we consider isotropic Gaussian processes and the excess damage function over a threshold. We performed a simulation study and a real data study.

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M Ahmed, V Maume-Deschamps, P Ribereau, Céline Vial. 2016-12-25. Spatial risk measure for gaussian processes. https://arxiv.org/abs/1612.08280

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