Erwan Koch

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erwan.koch@epfl.ch +41 21 693 44 95

EPFL SB MATH MATH-GE
MA B1 457 (Bâtiment MA)
Station 8
CH-1015 Lausanne

Unité: SMA-ENS

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Données administratives

Publications

Publications in peer-reviewed journals

Koch, E. (2019). Spatial risk measures and rate of spatial diversification. Risks 7(2):52.

Koch, E. and Robert C. Y. (2019). Geometric ergodicity for some space-time max-stable Markov chains. Statistics and Probability Letters, 145:43-49.

Koch, E., Dombry, C. and Robert, C. Y. (2018). A central limit theorem for functions of stationary max-stable random fields on R^d. Stochastic Processes and their Applications. https://doi.org/10.1016/j.spa.2018.09.014

Koch, E. (2017).  Spatial risk measures and applications to max-stable processes. Extremes, 20(3):635–670.

Embrechts, P., Koch, E. and Robert, C. Y. (2016).  Space-time max-stable models with spectral separability. Advances in Applied Probability, 48(A):77-97.

Koch, E. and Naveau P. (2015).  A frailty-contagion model for multi-site hourly precipitation driven by atmospheric covariates. Advances in Water Resources, 78:145-154.

Submitted or in revision in peer-reviewed journals

Davison, A. C., Koch, E. and Koh, J. (2019). Discussion of "Models as approximations I: consequences illustrated with linear regression." by Buja et al. (2018) in Statistical Science.
 
 Koch, E., Koh, J., Davison, A. C., Lepore, C. and Tippett, M. K. (2019). Trends in the extremes of environments associated with severe US thunderstorms.

Koch, E. and Robert, C. Y. (2018). Infinitesimal perturbation analysis for risk measures based on the Smith max-stable random field.

Koch, E. (2018). Spatial risk measures induced by powers of max-stable random fields.

Héam, J. C. and Koch, E. (2015).  Diversification and endogenous financial networks.

Other publications ((*) when reviewed)

(*) Koch, E. (2016). Spatial risk measures and applications to max-stable processes. SCOR Papers, number 36.

(*) Koch, E. (2015).  Outils et modèles pour l'étude de quelques risques spatiaux et en réseaux: application aux extrêmes climatiques et à la contagion en finance. L'actuariel, number 15, p. 34-36.

(*) Koch, E. (2014). Tools and Models for the Study of some Spatial and Network Risks: Application to Climate Extremes and Contagion in Finance. PhD thesis, Claude Bernard Lyon 1 University. Published by SCOR.

(*) Héam, J. C. and Koch, E. (2014). La recherche d'une diversification explique-t-elle l'interconnexion bancaire ? Les Cahiers Louis Bachelier, number 13, p. 10-11.

(*) Koch, E., Ribereau, P. and Robert, C. Y. (2013). Une tempête dans l'économie. Mathématiques de la Planète Terre 2013. 
 
Koch, E. (2011). Etude de faisabilité d'une assurance rendement basée sur indice climatique. Actuarial thesis. 

Recherche

Interests

- Extreme-value theory; Spatial and weather extremes;
 - Risk measures; Spatial, weather and climatic risks;
 - Actuarial science; Event-linked securities;
 - Systemic risk; Optimal risk transfer.