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Quantifying Extreme Risks
Year Of Publication: 2013
Month Of Publication: August
Pages: 28
Download Count: 20
View Count: 1148
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-21-2014
Publisher: Administrator
Summary
This paper presents some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of an extreme event there will never be enough data to predict a future risk in the classical statistical sense. However, a rather clever probabilistic theory provides us with model classes relevant for the assessment of extreme events. Moreover, specific statistical methods allow for the prediction of rare events, even outside the range of previous observations. We will present the basic theory and relevant examples from climatology (climate change), insurance (return periods of large claims) and finance (portfolio losses and Value-at-Risk estimation).
This document is published in Risk; A Multidisciplinary Introduction (Springer, 2014), 151-181. http://dx.doi.org/10.1007/978-3-319-04486-6_6
Author(s)
Fasen, Vicky Sign in to follow this author
Kluppelberg, Claudia Sign in to follow this author
Menzel, Annette Sign in to follow this author
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