Corpus ID: 158746152

Infinitesimal perturbation analysis for risk measures based on the Smith max-stable random field

@article{Koch2018InfinitesimalPA,
  title={Infinitesimal perturbation analysis for risk measures based on the Smith max-stable random field},
  author={Erwan Koch and Christian Y. Robert},
  journal={arXiv: Risk Management},
  year={2018}
}
  • Erwan Koch, Christian Y. Robert
  • Published 2018
  • Economics, Mathematics
  • arXiv: Risk Management
  • When using risk or dependence measures based on a given underlying model, it is essential to be able to quantify the sensitivity or robustness of these measures with respect to the model parameters. In this paper, we consider an underlying model which is popular in spatial extremes, the Smith max-stable random field. We study the sensitivity properties of risk or dependence measures based on the values of this field at a finite number of locations. Max-stable fields play a key role, e.g., in… CONTINUE READING

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