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Estimation de mesures de risque pour des pluies extrêmes dans la région Cévennes-Vivarais

Jonathan El Methni 1 Laurent Gardes 2 Stéphane Girard 3 
3 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
Abstract : Many risk measures can be found in the literature such as the Value-at-Risk and the Conditional Tail Expectation. In statistical terms, the Value-at-Risk is a upper quantile of the distribution of the variable of interest. In hydrology, the Value-at-Risk of the rainfall distribution is the return level. The Conditional Tail Expectation is the mean of the rainfalls larger than the Value-at-Risk. Here, we focus on the estimation of these risk measures in case of extreme rainfall modeled by heavy-tailed distributions. In order to take into account the geographical factors, we also assume that these risk measures depend on a covariate. We present the theoretical properties of our estimators and we illustrate their behaviour on a real data set of daily rainfalls in the Cévennes-Vivarais region.
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Submitted on : Tuesday, October 6, 2015 - 10:37:58 AM
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Jonathan El Methni, Laurent Gardes, Stéphane Girard. Estimation de mesures de risque pour des pluies extrêmes dans la région Cévennes-Vivarais. La Houille Blanche - Revue internationale de l'eau, EDP Sciences, 2015, pp.46-51. ⟨10.1051/lhb/20150045⟩. ⟨hal-01212105⟩



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