Essays about: "Extreme Value Theory"

Showing result 11 - 15 of 78 essays containing the words Extreme Value Theory.

  1. 11. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

    University essay from KTH/Matematik (Avd.)

    Author : Eric Jakobsson; Thor Åhlgren; [2022]
    Keywords : Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

    Abstract : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. READ MORE

  3. 12. An Extreme Value Approach to Modelling Construction Defect Insurance Claims

    University essay from Lunds universitet/Matematisk statistik

    Author : Matilda Ekermann; Ida Swartling; [2022]
    Keywords : Extreme value theory; insurance; block-maxima; peaks over threshold; Poisson process; Mathematics and Statistics;

    Abstract : Predicting future large claims, as well as the total cost, of a specific insurance is essential for insurance companies, for example when setting premium levels or purchasing reinsurance coverage. The purpose of this thesis is to investigate if extreme value theory can be applied to construction defect insurance claims. READ MORE

  4. 13. Modelling Magnetism of hcp Iron under Earth’s Inner Core Conditions : Based on first-principle DFT calculations and Machine Learning

    University essay from Linköpings universitet/Teoretisk Fysik

    Author : Linda Le; [2022]
    Keywords : Machine learning; Earth’s Inner Core; hcp Iron; Electronic structure magnetism; Density functional Theory; Local magnetic moments; Ab initio molecular dynamics; ASD-AIMD-MLLSF simulation;

    Abstract : The structure of Earth’s core remains largely a mystery. The solid inner core is believed to exist in extreme pressure and temperature conditions comparable to 300 GPa and 6000 K and consists mainly of iron, Fe. READ MORE

  5. 14. Fixed Income Securities as a Hedge against Equity Market Downside

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Timmie Bengtsson; [2022]
    Keywords : Fixed Income; Financial Markets; Hedge; Portfolio; Downside Risk; Value-at-Risk; Expected Shortfall; Extreme Value Theory; Kernel Density Estimation; Business and Economics;

    Abstract : Investors are constantly searching for ways to protect their wealth, ideally without losing out on long-term returns. To achieve this, some investors choose to diversify their equity portfolios with fixed income assets, believing they can protect their portfolios from drawdowns. READ MORE

  6. 15. RISK ESTIMATION FOR PERCEPTION FAILURES IN AUTOMATED DRIVING

    University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

    Author : Love Nilsson; [2021-06-15]
    Keywords : ;

    Abstract : The failure of sensors to perceive the environment correctly is one of the primary sources of risk that needs to be quantified in the development of active safety features for autonomous vehicles. By extracting training data from the CARLA simulator, an object detector was trained to simulate a perception system of an autonomous vehicle. READ MORE