5 papers
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…
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…