Essays about: "Multivariate Extreme Value distributions"

Found 2 essays containing the words Multivariate Extreme Value distributions.

1. 1. Estimation of severe crash frequency using two surrogates

   University essay from Lunds universitet/Matematisk statistik

   Author : Zhankun Chen; [2022]
   Keywords : Multivariate Extreme Value distributions; Copula; Extreme Value Theory; Crash frequency; Surrogate Meausre of Safety; Road safety; Mathematics and Statistics;

   Abstract : This thesis is concerned with the estimation of crash frequency based on the bivariate modeling of surrogate measures of safety (SMoS), which serve as indicators for traffic risk. Using the SMoS, any traffic conflict between two road users can be described by their proximity together with their hypothetical consequence. READ MORE

3. 2. Considering Tail Events in Hedge Fund Portfolio Optimization

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Josefin Bladh; Holm Greta; [2021]
   Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

   Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE