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Robert J. Erhardt

  1. Approximate Bayesian Computing for Spatial Extremes.

    Wed, 09/21/2011 - 15:01 — SomNambul
    Authors: Richard L. Smith, Robert J. Erhardt
    Subjects: Computation
    Abstract

    Statistical analysis of max-stable processes used to model spatial extremes
    has been limited by the difficulty in calculating the joint likelihood
    function. This precludes all standard likelihood-based approaches, including
    Bayesian approaches. In this paper we present a Bayesian approach through the
    use of approximate Bayesian computing. This circumvents the need for a joint
    likelihood function by instead relying on simulations from the (unavailable)
    likelihood. This method is compared with an alternative approach based on the
    composite likelihood.

  2. Pricing Weather Derivatives for Extreme Events.

    Wed, 09/21/2011 - 15:01 — SomNambul
    Authors: Richard L. Smith, Robert J. Erhardt
    Subjects: Applications
    Abstract

    We consider pricing weather derivatives for use as protection against weather
    extremes. The method described utilizes results from spatial statistics and
    extreme value theory to first model extremes in the weather as a max-stable
    process, and then use these models to simulate payments for a general
    collection of weather derivatives. These simulations capture the spatial
    dependence of payments. Incorporating results from catastrophe ratemaking, we
    show how this method can be used to compute risk loads and premiums for weather
    derivatives which are renewal-additive.

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