论文标题
Hüsler-Reiss载体和棕色陆战队的力量的相关性，以及用于被保险风损失的应用
Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses
论文作者
论文摘要
Hüsler-Reiss载体和棕色的田野分别是多变量和空间极值理论中的流行模型，并且在应用中广泛使用。我们为双变量Hüsler-Reiss Vector的幂之间的相关性提供了分析公式，将其扩展到棕色敏捷场的情况，并彻底研究所得依赖度量的特性。相关性的使用是通过空间风险理论证明的，而将相关性作为依赖度量时，功率变换是有见地的，并且此外非常适合天气事件（例如极端风或洪水）的损害功能。这使得我们的理论结果值得，例如精算应用。我们终于进行了一个案例研究，涉及德国极端风速的保险损失，并为保险业得出有价值的结论。
Hüsler-Reiss vectors and Brown-Resnick fields are popular models in multivariate and spatial extreme-value theory, respectively, and are widely used in applications. We provide analytical formulas for the correlation between powers of the components of the bivariate Hüsler-Reiss vector, extend these to the case of the Brown-Resnick field, and thoroughly study the properties of the resulting dependence measure. The use of correlation is justified by spatial risk theory, while power transforms are insightful when taking correlation as dependence measure, and are moreover very suited damage functions for weather events such as wind extremes or floods. This makes our theoretical results worthwhile for, e.g., actuarial applications. We finally perform a case study involving insured losses from extreme wind speeds in Germany, and obtain valuable conclusions for the insurance industry.
