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math.PR2015
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…
math.PR2015
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…