A new operational max-stable copula for asymmetric spatial dependence in extreme value analysis

Modeling the spatial dependence of extremes presents a dual challenge: guaranteeing max-stability while capturing the asymmetries observed in the field. We introduce a simplified version of an asymmetric Schlather copula, obtained by a clever reparametrization. This formulation offers both an explicit density, facilitating estimation by maximum likelihood and three interpretable parameters controlling the range, intensity and asymmetry of the dependence. Applied to a real dataset of extreme temperatures, our model outperforms several classical copulas (including Hüsler-Reiss and Schlather) in terms of fit. We also detail the analytical properties of the model (tail distribution, max-stability, density), demonstrating its flexibility and practical relevance for the analysis of extreme climate risks.

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Publication Details

Journal
Annals of Mathematics and Computer Science
Published
2025-08-25
DOI
https://doi.org/10.56947/amcs.v29.548
Primary Topic
Insurance, Mortality, Demography, Risk Management
Type
article
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article

A new operational max-stable copula for asymmetric spatial dependence in extreme value analysis

Remi Guillaume Bagré, Jacques Kaboré
Annals of Mathematics and Computer Science
Insurance, Mortality, Demography, Risk Management
article

A new operational max-stable copula for asymmetric spatial dependence in extreme value analysis

Remi Guillaume Bagré, Jacques Kaboré
article en

Abstract

Modeling the spatial dependence of extremes presents a dual challenge: guaranteeing max-stability while capturing the asymmetries observed in the field. We introduce a simplified version of an asymmetric Schlather copula, obtained by a clever reparametrization. This formulation offers both an explicit density, facilitating estimation by maximum likelihood and three interpretable parameters controlling the range, intensity and asymmetry of the dependence. Applied to a real dataset of extreme temperatures, our model outperforms several classical copulas (including Hüsler-Reiss and Schlather) in terms of fit. We also detail the analytical properties of the model (tail distribution, max-stability, density), demonstrating its flexibility and practical relevance for the analysis of extreme climate risks.

Annals of Mathematics and Computer ScienceVol. 29
Laboratoire de Mathématiques d'Orsay (FR), Laboratoire de Mathématiques Blaise Pascal (FR)
Openalex Percentile: Top 60%
Insurance, Mortality, Demography, Risk Management
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