Spatial risk measures for max-stable and max-mixture processes

DOI10.1080/17442508.2019.1687703zbMath1490.60117arXiv1706.08244OpenAlexW2983536493MaRDI QIDQ5086524

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Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.08244

zbMATH Keywords

extreme value theoryrisk measuresspatial dependencemax-stable processmax-mixture process

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Stable stochastic processes (60G52)

Cites Work

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• A dependence measure for multivariate and spatial extreme values: Properties and inference
• Geostatistics of extremes
• Spatial risk measures and their local specification: The locally law-invariant case
• Higher moment coherent risk measures
• Some Concepts of Dependence
• Dependence measures for extreme value analyses

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