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Conference papers

Estimation of risk measures for extreme pluviometrical measurements

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, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology, LJK - Laboratoire Jean Kuntzmann
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 aquantile 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 properties 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 : Friday, July 1, 2016 - 5:16:21 PM
Last modification on : Friday, February 4, 2022 - 3:14:34 AM


  • HAL Id : hal-01340774, version 1


Jonathan El Methni, Laurent Gardes, Stéphane Girard. Estimation of risk measures for extreme pluviometrical measurements. Workshop "Extreme value modeling and water ressources", 2016, Aussois, France. ⟨hal-01340774⟩



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