Publications by Erwan Fabrice Koch

Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses

H & uuml;sler-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 ...

Springer2024

Valerie Chavez-Demoulin, Anthony C Davison and Erwan Koch's contribution to the Discussion of 'The First Discussion Meeting on Statistical aspects of climate change'

Anthony Christopher Davison, Valérie Chavez, Erwan Fabrice Koch

OXFORD UNIV PRESS2023

Stochastic derivative estimation for max-stable random fields

Erwan Fabrice Koch

We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown-Resnick and Smith fields, are very popula ...

ELSEVIER2022

Trends in the Extremes of Environments Associated with Severe US Thunderstorms

Anthony Christopher Davison, Erwan Fabrice Koch, Jonathan Koh Boon Han

Severe thunderstorms can have devastating impacts. Concurrently high values of convective available potential energy (CAPE) and storm relative helicity (SRH) are known to be conducive to severe weather, so high values of PROD - (CAPE)(1/2) x SRH have been ...

AMER METEOROLOGICAL SOC2021

Spatial Risk Measures and Rate of Spatial Diversification

Erwan Fabrice Koch

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms ...

2019

A central limit theorem for functions of stationary max-stable random fields on R-d

Erwan Fabrice Koch, Clément Dombry

Max-stable random fields are very appropriate for the statistical modelling of spatial extremes. Hence, integrals of functions of max-stable random fields over a given region can play a key role in the assessment of the risk of natural disasters, meaning t ...

ELSEVIER2019

Geometric ergodicity for some space-time max-stable Markov chains

Erwan Fabrice Koch

Max-stable processes are central models for spatial extremes. In this paper, we focus on some space-time max-stable models introduced in Embrechts et al. (2016). The processes considered induce discrete-time Markov chains taking values in the space of cont ...

ELSEVIER SCIENCE BV2019

Towards X-ray transient grating spectroscopy

Majed Chergui, Paul Beaud, Giulia Fulvia Mancini, Erwan Fabrice Koch, Jérémy Raymond Jean Maurice Rouxel, Christian David

The extension of transient grating spectroscopy to the x-ray regime will create numerous opportunities, ranging from the study of thermal transport in the ballistic regime to charge, spin, and energy transfer processes with atomic spatial and femtosecond t ...

OPTICAL SOC AMER2019

Comment: Models Are Approximations!

Anthony Christopher Davison, Erwan Fabrice Koch, Jonathan Koh Boon Han

This discussion focuses on areas of disagreement with the papers, particularly the target of inference and the case for using the robust 'sandwich' variance estimator in the presence of moderate mis-specification. We also suggest that existing procedures m ...

INST MATHEMATICAL STATISTICS2019

Validation of the ICRF antenna coupling code RAPLICASOL against TOPICA and experiments

Olivier Sauter, Basil Duval, Stefano Coda, Timothy Goodman, Yves Martin, Jean-Marc Moret, Duccio Testa, Patrick Blanchard, Bruno Marchand, Holger Reimerdes

In this paper we validate the finite element code RAPLICASOL, which models radiofrequency wave propagation in edge plasmas near ICRF antennas, against calculations with the TOPICA code. We compare the output of both codes for the ASDEX Upgrade 2-strap ante ...

IOP Publishing Ltd2019