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Showing result 6 - 10 of 19 essays matching the above criteria.
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6. Multivariate Risk: From Univariate to High-Dimensional Graphical Models
University essay from Lunds universitet/Statistiska institutionenAbstract : We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. READ MORE
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7. Estimation of Load Profiles for Secondary Substations
University essay from Lunds universitet/Industriell elektroteknik och automationAbstract : The power system today is facing a transformation from fossil and nuclear energy sources to renewable energy sources such as solar- and wind power. At the same time electric vehicles are becoming more common every year. READ MORE
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8. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures
University essay from KTH/Matematisk statistikAbstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE
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9. An Extreme Value Approach to Road Safety Analysis
University essay from Lunds universitet/Matematisk statistikAbstract : In this thesis we study the feasibility of applying extreme value theory to data regarding road safety. In particular, we propose a model for assessing the risk of collision and near collision using extreme value theory. READ MORE
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10. An Extreme Value Approach to Modeling Risk of Extreme Rainfall in Bangladesh
University essay from Lunds universitet/Matematisk statistikAbstract : The extreme value theory has been applied on daily rainfall in the five most exposed areas of Bangladesh between the years 1980-2016 in order to esti- mate extreme rainfalls for the next 10, 50 and 100 years. These types of computations are necessary for optimising planning and preparations for ex- treme future rainfalls which can lead to minimising property damage and ultimately saving lives. READ MORE