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Conditional Risk based on multivariate Hazard Scenarios

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dc.abstract.enWe present a novel methodology to compute conditional risk measures when the conditioning event depends on a number of random variables. Specifically, given a random vector (X,Y), we consider risk measures that express the risk of Y given that X assumes values in an extreme multidimensional region. In particular, the considered risky regions are related to the AND, OR, Kendall and Survival Kendall hazard scenarios that are commonly used in environmental literature. Several closed formulas are considered (especially in the AND and OR scenarios). An application to spatial risk analysis involving real data is discussed
dc.affiliationUniwersytet Warszawski
dc.contributor.authorBernardi, Mauro
dc.contributor.authorDurante, Fabrizio
dc.contributor.authorPetrella, Lea
dc.contributor.authorSalvadori, Gianfausto
dc.contributor.authorJaworski, Piotr
dc.date.accessioned2024-01-24T20:05:54Z
dc.date.available2024-01-24T20:05:54Z
dc.date.issued2018
dc.description.financeNie dotyczy
dc.description.volume32
dc.identifier.doi10.1007/S00477-017-1425-9
dc.identifier.issn1436-3240
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/103511
dc.identifier.weblinkhttps://link.springer.com/article/10.1007%2Fs00477-017-1425-9
dc.languageeng
dc.pbn.affiliationmathemathics
dc.relation.ispartofStochastic Environmental Research and Risk Assessment
dc.relation.pages203–211
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.titleConditional Risk based on multivariate Hazard Scenarios
dc.typeJournalArticle
dspace.entity.typePublication