Spatial Risk Measure for Max-Stable and Max-Mixture Processes
- Ahmed, Manaf
- Maume-Deschamps, Véronique
- Ribereau, Pierre
- Vial, Céline
DOIAbstract
International audienceIn 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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