Quantification of extremal dependence in spatial natural hazard footprints: independence of windstorm gust speeds and its impact on aggregate losses

Natural hazards, such as European windstorms, have widespread effects that result in insured losses at multiple locations throughout a continent. Multivariate extreme-value statistical models for such environmental phenomena must therefore accommodate very high dimensional spatial data, as well as correctly representing dependence in the extremes to ensure accurate estimation of these losses. Ideally one would employ a flexible model, able to characterise all forms of extremal dependence. However, such models are restricted to a few dozen dimensions, hence an a priori diagnostic approach must be used to identify the dominant form of extremal dependence.