ARTICLE
Spatial Risk Measurement using some Max-stable Processes
- Kongzhi yu Juece/Control and Decision , 39 (02) : 4273-4286
Discipline :
Mathématiques
Auteur(s) :
Korotimi Ouédraogo, Diakarya Barro and Wengoundi Benjamin Nikiéma
Renseignée par : NIKIEMA Wengoundi Benjamin
Résumé
This paper deals with an application of Tukey s max-stable processes to spatial risk measures. The spatial risk measures used here are risk measures constructed on the basis of normalized spatially aggregated loss. In its construction, this risk measure takes extreme risks into account. The measures we obtain o¤er greater exibility in modeling spatial dependency structures. In this section, we examine the different properties.
Mots-clés
Spatial risk, max-stable process, spatial dependence, risk mesure ment; insurance risk.