8 citations · 10 across the 10 of their papers we have counts for
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q-fin.RM2018
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…
q-fin.RM2018
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…
q-fin.RM2014
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…