6 papers
Extrapolation of extreme covariates in generalized additive regression using extreme-value theory
Viviana Carcaiso, Sebastian Engelke, Juliette Legrand +1
Predictions with covariates in the tails of the covariate distribution often lack accuracy and are highly uncertain but may be of critical importance in many applications. New cova…
Bayesian spatial modelling framework for assessing residential flood risk in property insurance
Mulah Moriah, Franck Vermet, Pierre Ailliot +2
Spatial heterogeneity in insurance risk modelling is often represented using coarse areal structures, which can obscure fine-scale patterns critical for accurate risk assessment. T…
Contributions of geolocated weather and building related data for insurance assessment of flood risks
Mulah Moriah, Franck Vermet, Pierre Ailliot +2
Floods rank among the costliest natural hazards, causing over USD 100 billion in insured losses between 2013 and 2023. In France, persistent deficits in the natural catastrophe sch…
Non-Parametric Simulation of Multivariate Extreme Events via Spectral Bootstrap
Nisrine Madhar, Juliette Legrand, Maud Thomas
Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric simulat…
Pareto processes for threshold exceedances in spatial extremes
Clement Dombry, Juliette Legrand, Thomas Opitz
We review some recent development in the theory of spatial extremes related to Pareto Processes and modeling of threshold exceedances. We provide theoretical background, methodolog…
Assessing Extreme Risk using Stochastic Simulation of Extremes
Nisrine Madhar, Juliette Legrand, Maud Thomas
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data…