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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\bR2X=(X(s))\_{s\in\bR^2} and the damage function \cD_Xν=Xν\cD\_X^{\nu}= |X|^\nu with 0<ν<1/20<\nu<1/2. We study the quantitative behavior of a risk measure which is the variance of the average of \cD_Xν\cD\_X^{\nu} over a region A\bR2\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.

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