8 citations · 10 across the 10 of their papers we have counts for
5 papers · 1 filter
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…
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…