SPATIAL RISK MEASURE FOR GAUSSIAN PROCESSES

M Ahmed (1) , V Maume-Deschamps (1) , P Ribereau (1) , Céline Vial (1)

1 ICJ - Institut Camille Jordan

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.

Mots clés: Spatial dependence; Risk measures; Gaussian processes

Domaines: Statistiques [math.ST]; Probabilités [math.PR]

M Ahmed, V Maume-Deschamps, P Ribereau, Céline Vial. SPATIAL RISK MEASURE FOR GAUSSIAN PROCESSES. 2016. ⟨hal-01421078v1⟩