8 citations · 10 across the 10 of their papers we have counts for
14 papers
Design and pricing of a transparent parametric-modeled loss CAT bond: application to German windstorm
John Ery, Erwan Koch
Catastrophe (cat) bonds overcome some lack of reinsurance by sourcing capacity from the wider capital markets. We present a new type of cat bond addressing the known trade-off betw…
Forecasting with Markovian max-stable fields in space and time: An application to wind gust speeds
Ryan Cotsakis, Erwan Koch, Christian-Yann Robert
Hourly maxima of 3-second wind gust speeds are prominent indicators of the severity of wind storms, and accurately forecasting them is thus essential for populations, civil authori…
Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses
Erwan Koch
Hüsler-Reiss vectors and Brown-Resnick fields are popular models in multivariate and spatial extreme-value theory, respectively, and are widely used in applications. We provide ana…
Space-time extremes of severe US thunderstorm environments
Jonathan Koh, Erwan Koch, Anthony C. Davison
Severe thunderstorms cause substantial economic and human losses in the United States. Simultaneous high values of convective available potential energy (CAPE) and storm relative h…
Trends in the extremes of environments associated with severe US thunderstorms
Erwan Koch, Jonathan Koh, Anthony C. Davison +2
Severe thunderstorms can have devastating impacts. Concurrently high values of convective available potential energy (CAPE) and storm relative helicity (SRH) are known to be conduc…
Stochastic derivative estimation for max-stable random fields
Erwan Koch, Christian Y. Robert
We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Ma…
Extremal dependence and spatial risk measures for insured losses due to extreme winds
Erwan Koch
A meticulous assessment of the risk of impacts associated with extreme wind events is of great necessity for populations, civil authorities as well as the insurance industry. Using…
Spatial risk measures and rate of spatial diversification
Erwan Koch
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) i…
A central limit theorem for functions of stationary max-stable random fields on
Erwan Koch, Clément Dombry, Christian Y. Robert
Max-stable random fields are very appropriate for the statistical modelling of spatial extremes. Hence, integrals of functions of max-stable random fields over a given region can p…
Geometric ergodicity for some space-time max-stable Markov chains
Erwan Koch, Christian Y. Robert
Max-stable processes are central models for spatial extremes. In this paper, we focus on some space-time max-stable models introduced in Embrechts et al. (2016). The processes cons…
Space-time max-stable models with spectral separability
Paul Embrechts, Erwan Koch, Christian Robert
Natural disasters may have considerable impact on society as well as on (re)insurance industry. Max-stable processes are ideally suited for the modeling of the spatial extent of su…
Spatial risk measures and applications to max-stable processes
Erwan Koch
The risk of extreme environmental events is of great importance for both the authorities and the insurance industry. This paper concerns risk measures in a spatial setting, in orde…
Diversification and Endogenous Financial Networks
Jean-Cyprien Héam, Erwan Koch
We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existenc…
A frailty-contagion model for multi-site hourly precipitation driven by atmospheric covariates
Erwan Koch, Philippe Naveau
Accurate stochastic simulations of hourly precipitation are needed for impact studies at local spatial scales. Statistically, hourly precipitation data represent a difficult challe…