Cees de Valk & Kirstin Strokorb


At Tilburg University

Cees de Valk (KNMI)

Title: Towards estimation of the 10 million year wind speed

Abstract: Assessment of the reliability of flood protection in the Netherlands requires quantiles of wind speed for return periods of up to 10 million years. This is a major challenge, given that records of reliable wind measurements do not go back further than about 70 years. At KNMI, we are simultaneously working on different ideas for making this feasible. One idea is the utilisation of large datasets generated by numerical weather prediction models. However, this leaves a considerable gap in return period to overcome. Therefore, we also explore the use of models of the tail which are specifically designed for extrapolation over a wide range of return periods. Two large sets of ECMWF seasonal ensemble forecast wind data each representing more than 5000 years of data were used to check and compare estimates of the 10-million year wind speed based on different models of the tail. A related issue is the variation in time of estimates of the tail of wind speed as inferred from measurements at Schiphol. A fluctuation on long time-scales is observed, which appears to be related to the variation in mean wind speed. Consequences for the estimation of high quantiles are discussed.

Kirstin Strokorb (Cardiff University)

Title: The geometry of tail dependence

Abstract: The stable tail dependence function (stdf; Huang 1992, Drees and Huang 1998) is a well-known dependence function in multivariate extreme value analysis that appears naturally in different contexts (e.g. as part of MGEVs or MGPDs). Ressel (2013) gave the first complete set of conditions that a function has to fulfill in order to be a stdf. In this talk I will show how such conditions can be reinterpreted geometrically and in a spatial context and how this interpretation leads to new insights and connections between extreme value theory, stochastic geometry and the theory of risk measures.